美式蝶形期权期望的半参数界

Semiparametric bounds of mean for American butterfly option

研究美式蝶形期权均值的半参数界估计问题.在给定风险资产(股票)价格的某些矩信息条件下,通过对偶方法得到美式蝶形期权的上、下矩界;利用对偶原理、测度变换和控制函数分别估计了单峰和双峰情形下美式蝶形期权期望的上界.

The semiparametric bounds of mean for American butterfly option is studied in this article.Given some moment information of the price of risk asset(stock),the upper and lower moment bounds of American butterfly option are obtained through the duality method.Meanwhile,the upper moment bounds of American butterfly option in the unimodal and bimodal cases are also estimated by applying the duality principle,measure transformation and control function,respectively.