Abstract
The statistical problem of calculating upper and lower bounds for fair prices of European and Asian options within the classic Cox-Ross-Rubinstein (CRR) model with uncertain parameters is considered. The method proposed in this paper includes statistical data analysis for determining the ranges of the model parameters. Optimal portfolios are calculated simultaneously with the upper and lower bounds.
This work was supported by the Russian Science Foundation, Project No. 17-19-01038.
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Beliavsky, G.I., Danilova, N.V., Logunov, A.D. (2021). Robust Estimation of European and Asian Options. In: Karapetyants, A.N., Kravchenko, V.V., Liflyand, E., Malonek, H.R. (eds) Operator Theory and Harmonic Analysis. OTHA 2020. Springer Proceedings in Mathematics & Statistics, vol 357. Springer, Cham. https://doi.org/10.1007/978-3-030-77493-6_6
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