Empirical comparison on performance of Ryan and Ritchken bound theories and assessment on pricing bias.

Weimin. Sun
The focus of our empirical assessment is on studying two bound theories proposed by Ritchken (1985) and Ryan (1997). The study embarks on two tasks. One task is to answer how much tighter Ryan bounds are. The second is to propose a method to detect the pricing bias problem for a bound theory. The test data set consists of 1910 samples recorded at 9:00am, 11:00am and 2:00pm Central Time at Chicago Board Options Exchange, in...
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