Distribution-free option pricing
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Publication:995496
DOI10.1016/j.insmatheco.2006.04.002zbMath1141.91434OpenAlexW2103834513MaRDI QIDQ995496
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.002
Related Items (10)
On distributional robust probability functions and their computations ⋮ How to estimate the value at risk under incomplete information ⋮ Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula ⋮ Optimal retention for a stop-loss reinsurance with incomplete information ⋮ Variance Bounds for Functions of Unimodal Random Variable ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Computing bounds on the expected payoff of Alternative Risk Transfer products ⋮ Third-order extensions of Lo's semiparametric bound for European call options
Cites Work
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- The Pricing of Options and Corporate Liabilities
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- Analytical best upper bounds on stop-loss premiums
- Pricing and Hedging Discount Bond Options in the Presence of Model Risk *
- Best upper bounds on risks altered by deductibles under incomplete information
- Skewness and Stock Option Prices
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