Pricing Bounds on Quanto Options

2015 ◽  
Vol 23 (2) ◽  
pp. 53-61
Author(s):  
Yukihiro Tsuzuki
Keyword(s):  
Pricing Bounds

Option pricing bounds in an a α stable security market

1997 ◽  
Vol 13 (4) ◽  
pp. 817-839 ◽  
Author(s):  
A. W. Janicki ◽  
I. Popova ◽  
P. H. Ritchken ◽  
W. A. Woyczynski
Keyword(s):  
Option Pricing ◽  
Security Market ◽  
Pricing Bounds

Option Pricing Bounds: Synthesis And Extension

2003 ◽  
Vol 26 (2) ◽  
pp. 149-164 ◽  
Author(s):  
Ricardo J. Rodriguez
Keyword(s):  
Option Pricing ◽  
Pricing Bounds

OPTION PRICING BOUNDS AND THE PRICING OF BOND OPTIONS

1996 ◽  
Vol 23 (4) ◽  
pp. 535-556 ◽  
Author(s):  
Bjarne Astrup Jensen ◽  
Jørgen Aase Nielsen
Keyword(s):  
Option Pricing ◽  
Bond Options ◽  
Pricing Bounds

scholarly journals Trajectory Based Models. Evaluation of Minmax Pricing Bounds.

2015 ◽  
Author(s):  
Ivan Degano ◽  
Sebastian Ferrando ◽  
Alfredo Gonzalez
Keyword(s):  
Pricing Bounds

ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES

2013 ◽  
Vol 16 (06) ◽  
pp. 1350038 ◽  
Author(s):  
YUKIHIRO TSUZUKI
Keyword(s):  
Joint Distribution ◽  
Optimal Pricing ◽  
Exotic Options ◽  
Underlying Asset ◽  
Knock Out ◽  
Basket Options ◽  
Hedging Strategies ◽  
Pricing Bounds ◽  
Exchange Options ◽  
Underlying Processes

This paper proposes optimal super-hedging and sub-hedging strategies for a derivative on two underlying assets without any specification of the underlying processes. Moreover, the strategies are free from any model of the dependency between the underlying asset prices. We derive the optimal pricing bounds by finding a joint distribution under which the derivative price is equal to the hedging portfolio's value; the portfolio consists of liquid derivatives on each of the underlying assets. As examples, we obtain new super-hedging and sub-hedging strategies for several exotic options such as quanto options, exchange options, basket options, forward starting options, and knock-out options.

Pricing bounds and bang-bang analysis of the Polaris variable annuities

2019 ◽  
Vol 20 (1) ◽  
pp. 147-171
Author(s):  
Zhiyi Shen ◽  
Chengguo Weng
Keyword(s):  
Variable Annuities ◽  
Pricing Bounds
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