کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
477226 1446142 2009 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Third-order extensions of Lo’s semiparametric bound for European call options
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Third-order extensions of Lo’s semiparametric bound for European call options
چکیده انگلیسی

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend classical results in this area. Specifically, we derive closed-form semiparametric bounds for the payoff of a European call option, given up to third-order moment (i.e., mean, variance, and skewness) information on the underlying asset price. We analyze how these bounds tighten the corresponding bounds, when only second-order moment (i.e., mean and variance) information is provided. We describe applications of these results in the context of option pricing; as well as in other areas such as inventory management, and actuarial science.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 198, Issue 2, 16 October 2009, Pages 557–570
نویسندگان
, , ,