Semi-Parametric Upper Bounds for Options
21 Pages Posted: 14 Sep 2004 Last revised: 25 Nov 2012
Date Written: September 1, 2003
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