Semiparametric bounds of mean and variance for exotic options

作     者：LIU GuoQing LI V.Wenbo 

作者机构：Department of MathematicsHarbin Institute of TechnologyHarbin 150006China Department of Mathematical SciencesUniversity of DelawareNewarkDE 19716USA 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2009年第52卷第7期

页      面：1446-1458页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 0701[理学-数学] 

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

主　　题：semiparametric bounds duality moment problem exotic options 

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 the pay-off of two exotic(Collar and Gap) call options given mean and variance information on the underlying asset price.Mathematically,we extended domination technique by quadratic functions to bound mean and variances.