Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56344
Authors: 
Longarela, Iñaki R.
Year of Publication: 
2000
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 401
Abstract: 
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds. In this note we provide an simple procedure for their computation which only entails solving a linear optimization program.
Subjects: 
asset price bounds
gain-loss ratio
linear programming
JEL: 
C63
G12
Document Type: 
Working Paper

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