COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS

DOI10.1142/S0217595910002648zbMath1231.91445OpenAlexW2048328306MaRDI QIDQ3566767

Michi Nishihara, Toshihide Ibaraki, Mutsunori Yagiura

Publication date: 10 June 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595910002648

zbMATH Keywords

linear semi-infinite programmingstatic hedgingoption-implied risk-neutral distribution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Static-arbitrage optimal subreplicating strategies for basket options
• Estimation of risk-neutral densities using positive convolution approximation
• Nonparametric risk management and implied risk aversion
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Duality in option pricing based on prices of other derivatives
• Estimating risk-neutral density with parametric models in interest rate markets
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Arbitrage Theory in Continuous Time

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