Scholion.ai

On the Equality of Two Lower Bounds on the Call Price: A Note

Kanwal Sachdeva

Journal of Financial and Quantitative Analysis · 1986 · Volume 21 · Issue 2

DOI: 10.2307/2330741

Abstract

This note shows that, appearances to the contrary, the lower bounds on the price of a call option obtained by Levy and by Ritchken are identical, and that this common bound is never inferior to the lower bound obtained by Perrakis and Ryan.

Enable JavaScript for citation tools and additional paper interactions.