Semiparametric bounds of mean and variance for exotic options

DOI10.1007/s11425-009-0105-8zbMath1186.91217OpenAlexW1990159111MaRDI QIDQ1042983

V. Wenbo Li, Guoqing Liu

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0105-8

zbMATH Keywords

moment problemdualityexotic optionssemiparametric bounds

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Numerical optimization and variational techniques (65K10) Combinatorial probability (60C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Moment bounds for truncated random variables
• Third-order extensions of Lo's semiparametric bound for European call options
• Static arbitrage bounds on basket option prices
• Static-arbitrage upper bounds for the prices of basket options
• Generalized Chebyshev Bounds via Semidefinite Programming
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Option bounds
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Sharp Upper and Lower Bounds for Basket Options
• A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions

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