Multi-asset empirical martingale price estimators derivatives

DOI10.5705/SS.202016.0434zbMath1390.62209OpenAlexW2792073966MaRDI QIDQ4639589

Shih-Feng Huang, Guan-Chih Ciou

Publication date: 9 May 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0434

zbMATH Keywords

Esscher transformempirical martingale simulationmulti-asset derivatives pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Martingales with continuous parameter (60G44)

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