Abstract
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.
Original language | English |
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Pages (from-to) | 199-234 |
Number of pages | 36 |
Journal | Journal of Futures Markets |
Volume | 33 |
Issue number | 3 |
DOIs | |
Publication status | Published - Mar 2013 |
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Hong, Y. (2013). Valuation Bounds on Barrier Options Under Model Uncertainty. Journal of Futures Markets, 33(3), 199-234. https://doi.org/10.1002/fut.21545