Option pricing for infinite variance data

DOI10.1080/02331880701830748zbMath1284.91546OpenAlexW2061823119MaRDI QIDQ3632820

Hemant Ishwaran, Mahmoud Zarepour, Mohammad Taghi Jahandideh

Publication date: 15 June 2009

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701830748

zbMATH Keywords

option pricingstable lawsnonparametric bootstrappoint processesinfinite variancemoving averages

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Strong and conditional invariance principles for samples attracted to stable laws
• Bootstrapping point processes with some applications
• Tail estimation of the stable index \(\alpha\)
• The Variance Gamma Process and Option Pricing
• Option pricing: A simplified approach

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