Option-Implied Moments : A Generalized Moment Problem Approach

This paper uses a generalized moment problem formulation to obtain bounds for moments consistent with a finite sample of observed bid and ask option prices. It thereby offers an alternative to the common static replication formula under much weaker assumptions. Via duality, option-implied moment bounds can be determined through construction of the best sub- and superreplicating static portfolios. The prevalence of nontrivial and especially infinite moment bounds seriously questions implications derived from the ordinary static replication formula

Year of publication:	[2022]
Authors:	Dillschneider, Yannick
Publisher:	[S.l.] : SSRN

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