On some semi-parametric estimates for European option prices
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866917840943054848 |
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| author | Marinelli, Carlo |
| author_facet | Marinelli, Carlo |
| contents | We show that an estimate by de la Peña, Ibragimov and Jordan for $\mathbb{E}(X-c)^+$, with $c$ a constant and $X$ a random variable of which the mean, the variance, and $\mathbb{P}(X \leq c)$ are known, implies an estimate by Scarf on the infimum of $\mathbb{E}(X \wedge c)$ over the set of positive random variables $X$ with fixed mean and variance. This also shows, as a consequence, that the former estimate implies an estimate by Lo on European option prices. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_10929 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On some semi-parametric estimates for European option prices Marinelli, Carlo Probability Pricing of Securities We show that an estimate by de la Peña, Ibragimov and Jordan for $\mathbb{E}(X-c)^+$, with $c$ a constant and $X$ a random variable of which the mean, the variance, and $\mathbb{P}(X \leq c)$ are known, implies an estimate by Scarf on the infimum of $\mathbb{E}(X \wedge c)$ over the set of positive random variables $X$ with fixed mean and variance. This also shows, as a consequence, that the former estimate implies an estimate by Lo on European option prices. |
| title | On some semi-parametric estimates for European option prices |
| topic | Probability Pricing of Securities |
| url | https://arxiv.org/abs/2306.10929 |