Option bounds
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Cites work
- scientific article; zbMATH DE number 3130649 (Why is no real title available?)
- scientific article; zbMATH DE number 1234540 (Why is no real title available?)
- A note on the Boyle-Vorst discrete-time option pricing model with transactions costs.
- A probability inequality for linear combinations of bounded random variables
- Bounds on European option prices under stochastic volatility
- Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Inventory Theory
- On the Distribution of the Number of Successes in Independent Trials
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Option pricing: A simplified approach
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- Some inequalities for the dispersion of a random variable whose pdf is defined on a finite interval
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
Cited in
(16)- Progressive option bounds from the sequence of concurrently expiring options.
- Option pricing bounds and the elasticity of the pricing kernel
- Moments of derivative payoffs.
- Bottleneck options
- Bounding the values of financial derivatives by the use of the moment problem
- Third-order extensions of Lo's semiparametric bound for European call options
- Positive-part moments via the Fourier-Laplace transform
- On some semi-parametric estimates for European option prices
- Exact lower bounds on the exponential moments of truncated random variables
- Static-arbitrage lower bounds on the prices of basket options via linear programming
- Equilibrium pricing bounds on option prices
- Some Improvements on Markov's Theorem with Extensions
- Bounds for path-dependent options
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- Semiparametric bounds of mean and variance for exotic options
- Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison
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