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Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/109338

Title:	Robust good-deal bounds in incomplete markets: The case of Taiwan
Authors:	Chen, Jun Home;Huang, Y.-L.;Chang, J.-R.
Contributors:	資科系
Date:	2017-06
Issue Date:	2017-05-08 14:39:07 (UTC+8)
Abstract:	We extend Cochrane and Saá-Requejo`s (2000) analysis to derive good-deal bounds on asset prices when investors are concerned about model uncertainty and seek robust pricing decisions in incomplete markets. We investigate properties of the proposed pricing bounds and apply these bounds to value a European option whose underlying asset is a non-traded stock index. We find that, under certain circumstances of model uncertainty, the proposed pricing bounds can include sufficient amounts of the actual option prices, which is in contrast with the empirical finding of the good-deal bounds proposed by Cochrane and Saá-Requejo (2000).
Relation:	Hitotsubashi Journal of Economics, Volume 58, Issue 1,
Data Type:	article
Appears in Collections:	[資訊科學系] 期刊論文

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