MSM estimators of European options on assets with jumps (Q2757312)
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scientific article; zbMATH DE number 1676826
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MSM estimators of European options on assets with jumps |
scientific article; zbMATH DE number 1676826 |
Statements
26 November 2001
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method of simulated moments
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European option pricing models
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MSM method
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Lévy
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simulated prices
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0.8645041
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0.8623452
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0.8586441
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0.85757864
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0.85514826
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MSM estimators of European options on assets with jumps (English)
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Recently \textit{P. Bossaerts} and \textit{P. Hillion} [Math. Finance 3, 311-347 (1993; Zbl 0884.90015)] developed the Method of Simulated Moments (MSM) estimators of European option pricing models. A limitation of this method is the assumption that the price process is continuous. The main contribution of the present paper is the extension of the MSM method to the case where the underlying asset prices follow Lévy processes which allow for the possibility of jumps. In particular, in Sections 4 and 5, the characterization of convergence of the simulated prices is derived, and the asymptotic properties of the MSM estimators are obtained.
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