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