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2003-03-13Buch DOI: 10.18452/8287
Calibrated option bounds
dc.contributor.authorKing, Alan J.
dc.contributor.authorKoivu, Matti
dc.contributor.authorPennanen, Teemu
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:51:30Z
dc.date.available2017-06-16T19:51:30Z
dc.date.created2006-03-01
dc.date.issued2003-03-13
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8939
dc.description.abstractThis paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed calibration techniques and implied trees. Our approach is intimately related to the uncertain volatility model of Avellaneda, Levy and Parás, but it is more general in that it is not based on any particular form of the asset price process and does not require the seller's price of an option to be a differentiable function of the cash-flows of the option. Numerical tests on S&P 500 options demonstrate the accuracy and robustness of the proposed method.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectcalibrationeng
dc.subjectOptionseng
dc.subjectpricingeng
dc.subjectconvex optimizationeng
dc.subject.ddc510 Mathematik
dc.titleCalibrated option bounds
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8939-1
dc.identifier.doihttp://dx.doi.org/10.18452/8287
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameWorld Scientific
local.edoc.container-publisher-placeSingapore
local.edoc.container-volume2003
local.edoc.container-issue5
local.edoc.container-erstkatid2936317-2

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