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Abstract: Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. (Update)
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BibTeX entry: (Update)
@misc{ options-extensions,
author = "European Call Options",
title = "Extensions of Lo's semiparametric bound for",
url = "citeseer.ist.psu.edu/746268.html" }
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