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We establish bounds on option prices in an economy where the representative investor has an unknown utility function that
is constrained to belong to the family of nonincreasing absolute risk averse functions. For any distribution of terminal consumption,
we identify a procedure that establishes the lower bound of option prices. We prove that the lower bound derives from a particular
negative exponential utility function. We also identify lower bounds of option prices in a decreasing relative risk averse
economy. For this case, we find that the lower bound is determined by a power utility function. Similar to other recent findings,
for the latter case, we confirm that under lognormality of consumption, the Black Scholes price is a lower bound. The main
advantage of our bounding methodology is that it can be applied to any arbitrary marginal distribution for consumption.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
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