Asymptotic distribution of the EPMS estimator for financial derivatives pricing

DOI10.1016/j.csda.2013.12.001zbMath1506.62084OpenAlexW1968726503MaRDI QIDQ1623433

Ya-Ting Tu, Shih-Feng Huang

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.12.001

zbMATH Keywords

option pricingMonte Carlo simulationempirical \(P\)-martingale simulation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Hedging Barrier Options in GARCH Models with Transaction Costs

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Monte Carlo methods for security pricing
• Generalized autoregressive conditional heteroscedasticity
• Empirical Martingale Simulation for Asset Prices
• Asymptotic Distribution of the EMS Option Price Estimator
• Asymptotic Normality for EMS Option Price Estimator with Continuous or Discontinuous Payoff Functions
• THE GARCH OPTION PRICING MODEL
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• A Discrete Time Equivalent Martingale Measure

This page was built for publication: Asymptotic distribution of the EPMS estimator for financial derivatives pricing