Combining Statistical Intervals and Market Prices: The Worst Case State Price Distribution
نویسنده
چکیده
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. 1 This research was supported in part by National Science Foundation grant DMS 02-04639. Some key words and phrases : Incompleteness, Statistical uncertainty, Value at risk. MSC 2000 Subj. Classif. Primary 60G44, 62F25, 62G15; Secondary 62P05, 62P20. Running head : The Worst Case State Price Distribution
منابع مشابه
A method to calculate the acceptance probability and risk of rejection of bid prices on the electricity market
After restructuring, Iran’s electricity market has become one of the most competitive markets in which generation companies offer their proposed price on several price benches. So, the decisions in this market can use statistical concepts. In this paper, a conceptual model is presented according to simultaneous analysis of probabilistic distribution for historical data of market clearing price ...
متن کاملInvestigating Market Integration and Price Transmission of Different Rice Qualities in Iran
Rice production in most of Asian countries has been increased more rapidly than population and this has been led to increase in supply and proportionately decrease in the real price of rice in world and domestic markets. Furthermore, together with growth in production and national gross income of the country per-capita income has been increased and also demand for rice at national and internati...
متن کاملMarketing Margin Analysis of Jujube (Case Study: Birjand)
Among Medical products, jujube (Ziziphus jujuba Mill.) is very important due to its very high nutritional value. Jujube as one of the most valuable medicinal plants can play an important role in Iran's non-oil exports. In spite of this fact, unfortunately, the production, distribution and marketing of this product are confronted with a number of obstacles. Therefore, this study can help for ide...
متن کاملConsumers’ Preference for Cowpea in Nigeria
The study investigates consumers’ preference for cowpea reflected in the Nigerian markets through price discounts and premiums that consumers pay for different cowpea characteristics. The price data used for this study were obtained through a market survey. A common data collection protocol was employed. Every month, between October 2009 to December 2010, five cowpea samples per seller were bou...
متن کاملNon-Reservation Price Equilibria and Search Without Priors∗
In this paper we analyse a model of oligopolistic competition in which consumers search without priors. Consumers do not have prior beliefs about the distribution of prices charged by firms and thus try to use a robust search procedure: they minimise the loss relative to the searcher, who knows the price distribution, in the worst case scenario. We derive the optimal stopping rule and show that...
متن کامل