Option Pricing without Price Dynamics: A Probabilistic Approach

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dc.creatorBertsimas, Dimitris
dc.creatorBushueva, Natasha
dc.date2006-12-03
dc.date.accessioned2026-07-07T12:07:20Z
dc.date.available2026-07-07T12:07:20Z
dc.descriptionEmploying probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct maturities and the no-arbitrage condition, but without any assumption on the price dynamics of underlying assets. We show that the problem reduces to solving linear optimization problems that we explicitly characterize. We report numerical results that illustrate the effectiveness of the algorithms we develop.
dc.identifierhttps://arxiv.org/abs/math/0612075
dc.identifierhttp://arxiv.org/abs/math/0612075
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208937
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60E10; 60J35; 91B24; 91B28
dc.titleOption Pricing without Price Dynamics: A Probabilistic Approach
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