A data-driven framework for consistent financial valuation and risk measurement
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Publication:2028832
DOI10.1016/j.ejor.2020.07.011zbMath1487.91134OpenAlexW3044225803MaRDI QIDQ2028832
Publication date: 3 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.07.011
empirical characteristic functionempirical densityfinancenonparametricrisk managementdata-drivenmodel-free
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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