Semi-Parametric Upper Bounds for Options

Jordan, Steven J.

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Semi-Parametric Upper Bounds for Options

Yale ICF Working Paper No. 06-27

21 Pages Posted: 14 Sep 2004 Last revised: 25 Nov 2012

See all articles by Steven J. Jordan

Steven J. Jordan

Econometric Solutions

Date Written: September 1, 2003

Abstract

Semi-parametric upper bounds are derived for call and put options. These bounds depend only on moments of the return distribution. The importance of skewness of the underlying price distribution on option bounds is demonstrated. Examples of bounds to lognormal diffusions and mixed diffusion-jump processes are calculated.

Keywords: Rational expectations, market efficiency, parametric, bounds, options, puts, calls

JEL Classification: G32, L1

Suggested Citation: Suggested Citation

Jordan, Steven J., Semi-Parametric Upper Bounds for Options (September 1, 2003). Yale ICF Working Paper No. 06-27, Available at SSRN: https://ssrn.com/abstract=590705