Consistent upper price bounds for exotic options
From MaRDI portal
Publication:4994444
DOI10.1142/S0219024921500114zbMATH Open1466.91324arXiv1907.09144MaRDI QIDQ4994444FDOQ4994444
Authors: Nicole Bäuerle, Daniel Schmithals 
Publication date: 18 June 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1907.09144
Recommendations
Wasserstein distanceconvex orderdirectional convexityAsian optionmartingale optimal transportexotic options
Cites Work
- Optimal Transport
- Comparison methods for stochastic models and risks
- Static super-replicating strategies for a class of exotic options
- Robust hedging of the lookback option
- THE RANGE OF TRADED OPTION PRICES
- Model-independent bounds for option prices -- a mass transport approach
- The Existence of Probability Measures with Given Marginals
- Static-arbitrage optimal subreplicating strategies for basket options
- On a problem of optimal transport under marginal martingale constraints
- An explicit martingale version of the one-dimensional Brenier theorem
- General Lower Bounds for Arithmetic Asian Option Prices
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Title not available (Why is that?)
- An easy computable upper bound for the price of an arithmetic Asian option
- Stability of the shadow projection and the left-curtain coupling
- Inequalities for stochastic models via supermodular orderings
- Martingale optimal transport in the discrete case via simple linear programming techniques
- Dual attainment for the martingale transport problem
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
Cited In (12)
- Combining statistical intervals and market prices: the worst case state price distribution
- Model-free price bounds under dynamic option trading
- On intermediate marginals in martingale optimal transportation
- Progressive option bounds from the sequence of concurrently expiring options.
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Robust bounds for forward start options
- Expensive martingales
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- A new elementary geometric approach to option pricing bounds in discrete time models
- Equilibrium pricing bounds on option prices
- Improved Fréchet bounds and model-free pricing of multi-asset options
- On the upper bound of a call option
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)
