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

zbMATH Keywords

linear programmingsimulationupper boundlower boundkurtosisskewnessstochastic dominancearbitrage theoryexpected payoffnonparametric methodsemiparametric methodoption-bound

Mathematics Subject Classification ID

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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