Distribution-free option pricing (Q995496)

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Language	Label	Description	Also known as
English	Distribution-free option pricing	scientific article

Statements

scholarly article

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Distribution-free option pricing (English)

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Ann De Schepper

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Insurance Mathematics \& Economics

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publication date

3 September 2007

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zbMATH Keywords

Black-Scholes

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option pricing

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limited information

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2006.04.002

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The Pricing of Options and Corporate Liabilities

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Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints

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Analytical best upper bounds on stop-loss premiums

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Skewness and Stock Option Prices

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Numerical best bounds on stop-loss premiums

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Best upper bounds on risks altered by deductibles under incomplete information

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Upper bounds on stop-loss premiums in case of known moments up to the fourth order

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A Jump-Diffusion Model for Option Pricing

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Pricing and Hedging Discount Bond Options in the Presence of Model Risk *

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2006.04.002

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:995496

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