Marinelli, Carlo;
(2024)
On some semi-parametric estimates for European option prices.
Journal of Applied Probability
10.1017/jpr.2023.94.
(In press).
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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.
| Type: | Article |
|---|---|
| Title: | On some semi-parametric estimates for European option prices |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1017/jpr.2023.94 |
| Publisher version: | https://doi.org/10.1017/jpr.2023.94 |
| Language: | English |
| Additional information: | 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. |
| Keywords: | Probabilistic inequalities; bounds for option prices; |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10189728 |
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