Finding semiparametric bounds for option prices is a widely studied pricing technique.We obtain closed-form semiparametric bounds of the mean and variance for the pay-off of two exotic(Collar and Gap) call options giv...Finding semiparametric bounds for option prices is a widely studied pricing technique.We obtain closed-form semiparametric bounds of the mean and variance for the pay-off of two exotic(Collar and Gap) call options given mean and variance information on the underlying asset price.Mathematically,we extended domination technique by quadratic functions to bound mean and variances.展开更多
基金supported by National Science Foundation of the United States (Grant Nos.DMS-0720977 and DMS-0805929)
文摘Finding semiparametric bounds for option prices is a widely studied pricing technique.We obtain closed-form semiparametric bounds of the mean and variance for the pay-off of two exotic(Collar and Gap) call options given mean and variance information on the underlying asset price.Mathematically,we extended domination technique by quadratic functions to bound mean and variances.
