کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077619 1374140 2007 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Distribution-free option pricing
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Distribution-free option pricing
چکیده انگلیسی
Nobody doubts the power of the Black and Scholes option pricing method, yet there are situations in which the hypothesis of a lognormal model is too restrictive. A natural way to deal with this problem consists of weakening the hypothesis, by fixing only successive moments and possibly the mode of the price process of a risky asset, and not the complete distribution. As a consequence of this generalization, the option price is no longer a unique value, but rather a range of possible values. In the present paper, we show how to find upper and lower bounds for this range, a range which turns out to be quite narrow in a lot of cases.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 2, March 2007, Pages 179-199
نویسندگان
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