Bounds for option prices and expected payoffs |
| |
Authors: | Peter G Zhang |
| |
Institution: | (1) MMS International, 30 Broad Street, 33rd Floor, 10004 New York, NY |
| |
Abstract: | This article sharpens Lo's upper bounds for option prices using an alternative approach with the assumption that the underlying asset price is continuously distributed. The increased sharpness is obtained using additional information about the distribution of the underlying assets. It is shown in this article that a large portion of Lo's upper bounds is the maximum of our bounds over all possible distributions. |
| |
Keywords: | Lo's upper bounds for risk neutral variance semi-parametric bonds |
本文献已被 SpringerLink 等数据库收录! |