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- W4381569228 abstract "We show that an estimate by de la Pe~na, Ibragimov and Jordan for $mathbb{E}(X-c)^+$, with $c$ a constant and $X$ a random variable of which the mean, the variance, and $mathbb{P}(X leq c)$ are known, implies an estimate by Scarf on the infimum of $mathbb{E}(X wedge c)$ over the set of positive random variables $X$ with fixed mean and variance. This also shows, as a consequence, that the former estimate implies an estimate by Lo on European option prices." @default.
- W4381569228 created "2023-06-22" @default.
- W4381569228 creator A5078415830 @default.
- W4381569228 date "2023-06-19" @default.
- W4381569228 modified "2023-10-18" @default.
- W4381569228 title "On some semi-parametric estimates for European option prices" @default.
- W4381569228 doi "https://doi.org/10.48550/arxiv.2306.10929" @default.
- W4381569228 hasPublicationYear "2023" @default.
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