Option bounds

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dc.contributor.authorDe la Pena, VHko
dc.contributor.authorIbragimov, Rko
dc.contributor.authorJordan, SJko
dc.date.accessioned2013-03-04T13:19:39Z-
dc.date.available2013-03-04T13:19:39Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2004-
dc.identifier.citationJOURNAL OF APPLIED PROBABILITY, v.41A , no.Special, pp.145 - 156-
dc.identifier.issn0021-9002-
dc.identifier.urihttp://hdl.handle.net/10203/82769-
dc.description.abstractIn this paper, we obtain sharp estimates for the expected payoffs and prices of European call options on an asset with an absolutely continuous price in terms of the price density characteristics. These techniques and results complement other approaches to the derivative pricing problem. Exact analytical solutions to option-pricing problems and to Monte-Carlo techniques make strong assumptions on the underlying asset's distribution. In contrast, our results are semi-parametric. This allows the derivation of results without knowing the entire distribution of the underlying asset's returns. Our results can be used to test different modelling assumptions. Finally, we derive bounds in the multiperiod binomial option-pricing model with time-varying moments. Our bounds reduce the multiperiod setup to a two-period setting, which is advantageous from a Computational perspective.-
dc.languageEnglish-
dc.publisherAPPLIED PROBABILITY TRUST-
dc.subjectDISCRETE-TIME-
dc.subjectCONTINGENT CLAIMS-
dc.subjectTRANSACTION COSTS-
dc.subjectPRICES-
dc.subjectVOLATILITY-
dc.subjectMARKETS-
dc.titleOption bounds-
dc.typeArticle-
dc.identifier.wosid000221257900012-
dc.identifier.scopusid2-s2.0-33845729868-
dc.type.rimsART-
dc.citation.volume41A-
dc.citation.issueSpecial-
dc.citation.beginningpage145-
dc.citation.endingpage156-
dc.citation.publicationnameJOURNAL OF APPLIED PROBABILITY-
dc.identifier.doi10.1239/jap/1082552196-
dc.contributor.localauthorJordan, SJ-
dc.contributor.nonIdAuthorDe la Pena, VH-
dc.contributor.nonIdAuthorIbragimov, R-
dc.type.journalArticleArticle-
dc.subject.keywordAuthoroption pricing-
dc.subject.keywordAuthorsemi-parametric bounds-
dc.subject.keywordPlusDISCRETE-TIME-
dc.subject.keywordPlusCONTINGENT CLAIMS-
dc.subject.keywordPlusTRANSACTION COSTS-
dc.subject.keywordPlusPRICES-
dc.subject.keywordPlusVOLATILITY-
dc.subject.keywordPlusMARKETS-
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