کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077370 1374127 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Quantifying the error of convex order bounds for truncated first moments
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Quantifying the error of convex order bounds for truncated first moments
چکیده انگلیسی
In this article we quantify the maximal error in terms of truncated first moments, when S is approximated by a lower or an upper convex order bound to it. We make use of geometrical arguments; from the unknown distribution of S only its variance is involved in the computation of the error bounds. The results are illustrated by pricing an Asian option. It is shown that under certain circumstances our error bounds outperform other known error bounds, e.g. the bound proposed by Nielsen and Sandmann [Nielsen, J.A., Sandmann, K., 2003. Pricing bounds on Asian options. J. Financ. Quant. Anal. 38, 449-473].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 1, February 2008, Pages 261-270
نویسندگان
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