Decreasing absolute risk aversion and option pricing bounds

Management Science

Volumn 43, Issue 2, 1997, Pages 206-216

  Basso, Antonella ^a   Pianca, Paolo ^a  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

Decreasing Absolute Risk Aversion; Mathematical Programming; Option Pricing; Stochastic Dominance

Indexed keywords

COSTS; FUNCTIONS; MATHEMATICAL PROGRAMMING; OPTIMIZATION; RANDOM PROCESSES; RISK ASSESSMENT;

DECREASING ABSOLUTE RISK AVERSION; OPTION PRICING; STOCHASTIC DOMINANCE;

MANAGEMENT SCIENCE;

EID: 0031061916     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.43.2.206     Document Type: Article

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