Strong consistency of the empirical martingale simulation option price estimator

DOI10.1007/S10255-008-8801-7zbMath1188.91225OpenAlexW1972195093MaRDI QIDQ1036915

Zhushun Yuan, Gemai Chen

Publication date: 13 November 2009

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-008-8801-7

zbMATH Keywords

Monte CarloGARCHBlack-Scholes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Monte Carlo methods for security pricing
• Empirical Martingale Simulation for Asset Prices
• Loss Functions in Option Valuation: A Framework for Selection
• THE GARCH OPTION PRICING MODEL
• Numerical Valuation of High Dimensional Multivariate European Securities

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