Bounds for path-dependent options
From MaRDI portal
Publication:902179
DOI10.1007/s10436-015-0265-1zbMath1369.91173OpenAlexW1740478010MaRDI QIDQ902179
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
moment inequalitiesAsian optionsbinomial modeloption pricesoption boundstrinomial modelexpected payoffspath-dependent contingent claimssemiparametric bounds
Inequalities; stochastic orderings (60E15) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms
- An easy computable upper bound for the price of an arithmetic Asian option
- A probability inequality for linear combinations of bounded random variables
- A characterization of joint distribution of two-valued random variables and its applications
- On sharp Burkholder-Rosenthal-type inequalities for infinite-degree \(U\)-statistics
- Heavy-tailed distributions and robustness in economics and finance
- Bounds on European Option Prices under Stochastic Volatility
- Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
- An Inequality of Optimal Order for the Tail Probabilities of the T Statistic Under Symmetry
- Inventory Theory
- Multinomial Approximating Models for Options with k State Variables
- Extreme Points of Certain Sets of Probability Measures, with Applications
- Option bounds
- Option pricing: A simplified approach
- The Extrema of the Expected Value of a Function of Independent Random Variables
- Inequalities: theory of majorization and its applications
- Exact estimates for moments of random bilinear forms