关于欧洲期权价格的一些半参数估计

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY Journal of Applied Probability Pub Date : 2024-02-14 DOI:10.1017/jpr.2023.94

Carlo Marinelli

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引用次数: 0

摘要

我们证明了德拉佩尼亚、伊布拉吉莫夫和乔丹对${mathbb{E}}(X-c)^+$的估计，其中c是一个常数，X是一个随机变量，其均值、方差和$\mathbb{P}(X leqslant c)$都是已知的，这意味着斯卡夫对具有固定均值和方差的正随机变量X集合上的${mathbb{E}}(X wedge c)$的下确值的估计。由此也可以看出，前一个估计意味着罗对欧式期权价格的估计。

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On some semi-parametric estimates for European option prices

We show that an estimate by de la Peña, Ibragimov, and Jordan for

${\mathbb{E}}(X-c)^+$

, with c a constant and X a random variable of which the mean, the variance, and

$\mathbb{P}(X \leqslant c)$

are known, implies an estimate by Scarf on the infimum of

${\mathbb{E}}(X \wedge c)$

over the set of positive random variables X with fixed mean and variance. This also shows, as a consequence, that the former estimate implies an estimate by Lo on European option prices.

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来源期刊

Journal of Applied Probability 数学-统计学与概率论

CiteScore

1.50

自引率

10.00%

发文量

审稿时长

6-12 weeks

期刊介绍： Journal of Applied Probability is the oldest journal devoted to the publication of research in the field of applied probability. It is an international journal published by the Applied Probability Trust, and it serves as a companion publication to the Advances in Applied Probability. Its wide audience includes leading researchers across the entire spectrum of applied probability, including biosciences applications, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used. A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.