Semi-Parametric Upper Bounds for Options

Semi-parametric upper bounds are derived for call and put options. These bounds depend only on moments of the return distribution. The importance of skewness of the underlying price distribution on option bounds is demonstrated. Examples of bounds to lognormal diffusions and mixed diffusion-jump processes are calculated

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Year of publication:	[2012]
Authors:	Jordan, Steven J.
Publisher:	[2012]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (21 p)
Series:	Yale ICF Working Paper ; No. 06-27
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2003 erstellt
Classification:	G32 - Financing Policy; Capital and Ownership Structure ; L1 - Market Structure, Firm Strategy, and Market Performance
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012755750