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5. Semiparametric bounds of mean and variance for exotic options

Semiparametric bounds of mean and variance for exotic options

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：yibola2008

【摘 要】

：

Finding semiparametric bounds for option prices is a widely studied pricing technique.We obtain closed-form semiparametric bounds of the mean and variance for t

【作 者】

：

GuoQing Liu (1)  V. Wenbo Li 

【机 构】

：

1.DepartmentofMathematics,2.DepartmentofMathematicalSciences

【出 处】

：

中国科学：数学英文版

【发表日期】

：

2009年7期

【关键词】

：

SEMIPARAMETRIC BOUNDS DUALITY MOMENT problem EXOTIC OPTIONS semiparametric bound 

【基金项目】

：

supported by National Science Foundation of the United States (Grant Nos.DMS-0720977 and DMS-0805929)

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Finding semiparametric bounds for option prices is a widely studied pricing technique.We obtain closed-form semiparametric bounds of the mean and variance for the pay-off of two exotic(Collar and Gap) call options given mean and variance information on th

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