Estimating parametric models of probability distributions

DOI10.1007/s11009-014-9409-4zbMath1373.62526OpenAlexW1971489057MaRDI QIDQ496976

Dilip B. Madan

Publication date: 23 September 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9409-4

zbMATH Keywords

moment estimatorsvariance gammadigital optionsdouble gamma model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Instantaneous portfolio theory ⋮ Pricing options on mean reverting underliers ⋮ Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models ⋮ Calibration for weak variance-alpha-gamma processes ⋮ Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Now decision theory ⋮ Exposure valuations and their capital requirements ⋮ Conic asset pricing and the costs of price fluctuations ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ Marginal consistent dependence modelling using weak subordination for Brownian motions ⋮ Correlated squared returns ⋮ Measure distorted arrival rate risks and their rewards ⋮ High dimensional Markovian trading of a single stock

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The empirical characteristic function and its applications
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum Likelihood Estimation of Misspecified Models

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