Bounds for path-dependent options

DOI10.1007/S10436-015-0265-1MaRDI QIDQ902179zbMATH OpenOpenAlexFDO

Authors Donald J. Brown, Rustam Ibragimov, Johan Walden

Publication date 7 January 2016

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/67732

zbMATH Keywords

moment inequalitiesbinomial modelAsian optionsoption pricesoption boundstrinomial modelexpected payoffspath-dependent contingent claimssemiparametric bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Inequalities; stochastic orderings (60E15)

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Cites work

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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• Bounds on European option prices under stochastic volatility
• Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
• Exact estimates for moments of random bilinear forms
• Extreme Points of Certain Sets of Probability Measures, with Applications
• Heavy-tailed distributions and robustness in economics and finance
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• Inventory Theory
• Multinomial Approximating Models for Options with k State Variables
• On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms
• On sharp Burkholder-Rosenthal-type inequalities for infinite-degree U-statistics
• Option bounds
• Option pricing: A simplified approach
• The Extrema of the Expected Value of a Function of Independent Random Variables

Cited in

(3)

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• Third-order extensions of Lo's semiparametric bound for European call options
• A new elementary geometric approach to option pricing bounds in discrete time models

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