Semiparametric bounds of mean and variance for exotic options
type: Item
instance of: scholarly article
title: Semiparametric bounds of mean and variance for exotic options
zbMATH Open document ID: 1186.91217
author: V. Wenbo Li
author: Guoqing Liu
published in: Science in China. Series A
publication date: 2009-12-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60C05
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 49M29
zbMATH DE Number: 5643458
zbMATH Keywords: semiparametric bounds
zbMATH Keywords: duality
zbMATH Keywords: moment problem
zbMATH Keywords: exotic options
MaRDI profile type: Publication
full work available at URL: s11425-009-0105-8
OpenAlex ID: W1990159111
cites work: Third-order extensions of Lo's semiparametric bound for European call options
cites work: Generalized Chebyshev Bounds via Semidefinite Programming
cites work: Static arbitrage bounds on basket option prices
cites work: Static-arbitrage upper bounds for the prices of basket options
cites work: Sharp Upper and Lower Bounds for Basket Options
cites work: A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
cites work: On the Relation Between Option and Stock Prices: A Convex Optimization Approach
cites work: Optimal Inequalities in Probability Theory: A Convex Optimization Approach
cites work: Moment bounds for truncated random variables
cites work: Option bounds
DOI: 10.1007/S11425-009-0105-8
Recommended article: Asymptotic and exact pricing of options on variance
Recommended article: Semi-parametric estimation of American option prices
Recommended article: Q4802405
Recommended article: Q4378663
Recommended article: Semi-nonparametric approximation and index options
Recommended article: Third-order extensions of Lo's semiparametric bound for European call options
Recommended article: Hedging variance options on continuous semimartingales
Recommended article: Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
description: scientific article; zbMATH DE number 5643458