Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain

DOI10.1080/09720510.2006.10701233zbMath1193.91153OpenAlexW2139729057MaRDI QIDQ3567573

Guglielmo D'Amico

Publication date: 17 June 2010

Published in: Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720510.2006.10701233

zbMATH Keywords

asymptotic propertiesMarkov chaindelta methodEuropean option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Derivative securities (option pricing, hedging, etc.) (91G20)

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