Distribution-free option pricing
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Publication:995496
DOI10.1016/J.INSMATHECO.2006.04.002zbMATH Open1141.91434OpenAlexW2103834513MaRDI QIDQ995496FDOQ995496
Authors: Ann De Schepper, Bart Heijnen 
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.002
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Cites Work
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- Best upper bounds on risks altered by deductibles under incomplete information
- Pricing and Hedging Discount Bond Options in the Presence of Model Risk *
- Skewness and Stock Option Prices
Cited In (29)
- Combining statistical intervals and market prices: the worst case state price distribution
- Option pricing for log-symmetric distributions of returns
- Equilibrium preference free pricing of derivatives under the generalized beta distributions
- Computing bounds on the expected payoff of Alternative Risk Transfer products
- Option valuation with infinitely divisible distributions
- Moment Problem and Its Applications to Risk Assessment
- Moments of derivative payoffs.
- Option pricing bounds and the elasticity of the pricing kernel
- Statistical distributions, European option, American option, and option bounds
- Additive logistic processes in option pricing
- 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
- On distributional robust probability functions and their computations
- A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing
- Distributional divergence, statistical experiments and consequences in option pricing
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
- How to estimate the value at risk under incomplete information
- Geometric price of lognormal distribution
- Equilibrium pricing bounds on option prices
- Optimal retention for a stop-loss reinsurance with incomplete information
- Two-dimensional risk-neutral valuation relationships for the pricing of options
- Computing best bounds for nonlinear risk measures with partial information
- Variance Bounds for Functions of Unimodal Random Variable
- Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison
- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
- Minimum option prices under decreasing absolute risk aversion
- Option bounds
- Option pricing generators
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