Parametric, Semi-Parametric, and Non-Parametric Approaches for Option-Bound Determination: Review and Comparison
DOI10.1142/9789811202391_0007zbMath1451.91201OpenAlexW3081313933MaRDI QIDQ5139387
Cheng-Few Lee, Peter Guangping Zhang
Publication date: 9 December 2020
Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/9789811202391_0007
linear programmingsimulationupper boundlower boundkurtosisskewnessstochastic dominancearbitrage theoryexpected payoffnonparametric methodsemiparametric methodoption-bound
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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