eprintid: 10189728 rev_number: 14 eprint_status: archive userid: 699 dir: disk0/10/18/97/28 datestamp: 2024-03-26 09:33:26 lastmod: 2024-08-15 08:57:27 status_changed: 2024-03-26 09:33:26 type: article metadata_visibility: show sword_depositor: 699 creators_name: Marinelli, Carlo title: On some semi-parametric estimates for European option prices ispublished: inpress divisions: UCL divisions: B04 divisions: C06 divisions: F59 keywords: Probabilistic inequalities; bounds for option prices; note: 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. abstract: 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. date: 2024-02-14 date_type: published publisher: Applied Probability Trust official_url: https://doi.org/10.1017/jpr.2023.94 oa_status: green full_text_type: other language: eng primo: open primo_central: open_green verified: verified_manual elements_id: 2255935 doi: 10.1017/jpr.2023.94 lyricists_name: Marinelli, Carlo lyricists_id: CMARI86 actors_name: Marinelli, Carlo actors_id: CMARI86 actors_role: owner full_text_status: public publication: Journal of Applied Probability pages: 11 issn: 0021-9002 citation: Marinelli, Carlo; (2024) On some semi-parametric estimates for European option prices. Journal of Applied Probability 10.1017/jpr.2023.94 <https://doi.org/10.1017/jpr.2023.94>. (In press). Green open access document_url: https://discovery.ucl.ac.uk/id/eprint/10189728/7/Marinelli_div-class-title-on-some-semi-parametric-estimates-for-european-option-prices-div.pdf