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Valuation Bounds on Barrier Options Under Model Uncertainty

✍ Scribed by YI HONG

Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
824 KB
Volume
33
Category
Article
ISSN
0270-7314

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✦ Synopsis

This article investigates valuation bounds on barrier options under model uncertainty. This investigation enriches the literature on the model‐free valuation of these exotic options. It is found that with weak assumptions on underlying price processes, tight valuation bounds on barrier options can be sought from a set of European options. As a result, the numerical routine developed in this article can be reviewed as a new method for the evaluation of barrier options, which is independent of model assumptions. Β© 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:199–234, 2013

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