A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2004; you can also visit the original URL.
The file type is
In this paper, we obtain sharp estimates for the expected payoffs and prices of European call options on an asset with an absolutely continuous price in terms of the price density characteristics. These techniques and results complement other approaches to the derivative pricing problem. Exact analytical solutions to option-pricing problems and to Monte-Carlo techniques make strong assumptions on the underlying asset's distribution. In contrast, our results are semi-parametric. This allows thedoi:10.1017/s0021900200112264 fatcat:rf5dxq7pzbdutdmwtkse4ywl6i