Template-Type:ReDIF-Paper 1.0  
Title: Bounds on European Option Prices under Stochastic Volatility
Author-Name: Frey, Rüdiger
Author-Name: Carlos A. Sin
Classification-JEL:
Keywords: 
Abstract: In this paper we consider the range of prices consistent with no arbitrage for European options in a
	general stochastic volatility model. We give conditions under which infimum respectively the supremum of the
	possible option prices are equal to the intrinsic value of the option or to the current price of the stock and show
	that these conditions are satisfied in most of the stochastic volatility models from the financial literature. 
Length: pages
Creation-Date: 1997-07
Revision-Date: 
Handle: RePEc:bon:bonsfb:405