Combining statistical intervals and market prices: The worst case state price distribution
Combining statistical intervals and market prices: The worst case state price distribution
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DOI：
10.1016/j.jeconom.2019.04.030
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发表时间：
2019-09
影响因子：
6.3
通讯作者：
P. Mykland
中科院分区：
文献类型：
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作者：
P. Mykland
本文展示了如何结合联合收割机（历史）统计数据和（当前）市场价格，形成保守的交易策略的选择。这就产生了一个“最坏情况”的状态价格分布，它为所有凸欧式期权提供了尖锐的价格边界。本文提供了存在性和计算算法的条件下，可以理解为“无套利”。最坏情况下的分布收敛到一个正常的状态价格分布，如果交易期权的数量增加，以跨越可能的期权支付的空间。
The paper shows how to combine (historical) statistical data and (current) market prices to form conservative trading strategies for options. This gives rise to a “worst case” state price distribution, which provides sharp price bounds for all convex European options. The paper provides for existence and computational algorithms under conditions which can be understood as “no arbitrage”. The worst case distribution converges to a regular state price distribution if the number of traded options increases to span the space of possible option payouts.