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- W4249951966 abstract "In a recent paper 1, I applied first- and second-degree stochastic dominance to derive upper and lower bounds for a call option. Havingthese upper and lower bounds, I employed the put-call parity (see equation (15), p. 1208) to derive an upper and a lower bound for a put option. These bounds are easily derived once the bounds on the call option are available. Then I claimed that the same method that had been employed to derive the call option's bounds can be employed to directly derive (i.e., without using the put-call parity) the put option bounds. On page 1209 I demonstrated the derivation of the upper bound of the put option and obtained a bound that differs from the bound derived from the put-call parity (see equation (18), p. 1209). The result of equation (18) is wrong since I mistakenly assumed that the cumulative distributions of the rates of return on the put option and the underlying asset intersect only once, while in general, they intersect twice. Thus, the discussion on page 1209 is wrong, but all other results are correct, including the put option bounds given in equation (16). In fact, one can employ stochastic dominance directly to derive the put option's bounds as suggested on page 1209. However, in this derivation, one should take into account that two intersections, rather than one, take place. The technique will be different, but the same principle of no dominance positions should be employed." @default.
- W4249951966 created "2022-05-12" @default.
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- W4249951966 date "1986-12-01" @default.
- W4249951966 modified "2023-10-03" @default.
- W4249951966 title "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach-Erratum" @default.
- W4249951966 doi "https://doi.org/10.2307/2328176" @default.
- W4249951966 hasPublicationYear "1986" @default.
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