Consistent upper price bounds for exotic options
From MaRDI portal
Abstract: We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for these maturities. A model-free approach is used, only taking into account that the (discounted) stock price process is a martingale under the no-arbitrage condition. In case the payoff is directionally convex we obtain the worst case marginal pricing measures. The speed of convergence of the upper price bound is determined when the number of observed stock prices increases. We illustrate our findings with some numerical computations.
Recommendations
Cites work
- An easy computable upper bound for the price of an arithmetic Asian option
- An explicit martingale version of the one-dimensional Brenier theorem
- Comparison methods for stochastic models and risks
- Dual attainment for the martingale transport problem
- General Lower Bounds for Arithmetic Asian Option Prices
- scientific article; zbMATH DE number 3122046 (Why is no real title available?)
- Inequalities for stochastic models via supermodular orderings
- Martingale optimal transport in the discrete case via simple linear programming techniques
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Model-independent bounds for option prices -- a mass transport approach
- On a problem of optimal transport under marginal martingale constraints
- Optimal Transport
- Robust hedging of the lookback option
- Stability of the shadow projection and the left-curtain coupling
- Static super-replicating strategies for a class of exotic options
- Static-arbitrage optimal subreplicating strategies for basket options
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- The Existence of Probability Measures with Given Marginals
- THE RANGE OF TRADED OPTION PRICES
Cited in
(12)- Progressive option bounds from the sequence of concurrently expiring options.
- Combining statistical intervals and market prices: the worst case state price distribution
- Improved Fréchet bounds and model-free pricing of multi-asset options
- A new elementary geometric approach to option pricing bounds in discrete time models
- Robust bounds for forward start options
- Model-free price bounds under dynamic option trading
- Expensive martingales
- On intermediate marginals in martingale optimal transportation
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- On the upper bound of a call option
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Equilibrium pricing bounds on option prices
This page was built for publication: Consistent upper price bounds for exotic options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4994444)
