TY  - INPR
AV  - public
EP  - 11
N2  - We show that an estimate by de la Peña, Ibragimov, and Jordan for E(X ? c)?, with c a constant and X a random variable of which the mean, the variance, and P(X ? c) are known, implies an estimate by Scarf on the infimum of E(X ? 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.
KW  - Probabilistic inequalities; bounds for option prices;
UR  - https://doi.org/10.1017/jpr.2023.94
A1  - Marinelli, Carlo
SN  - 0021-9002
JF  - Journal of Applied Probability
ID  - discovery10189728
Y1  - 2024/02/14/
N1  - Copyright © The Author(s), 2024. Published by Cambridge University Press on behalf of Applied Probability Trust. This is an Open Access article, distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives licence (https://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is unaltered and is properly cited. The written permission of Cambridge University Press must be obtained for commercial re-use or in order to create a derivative work.
PB  - Applied Probability Trust
TI  - On some semi-parametric estimates for European option prices
ER  -