Price bias and common practice in option pricing

DOI10.1002/CJS.11495zbMath1492.91367OpenAlexW2936144510WikidataQ128114152 ScholiaQ128114152MaRDI QIDQ5107617

Jean-François Bégin, Geneviève Gauthier

Publication date: 28 April 2020

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11495

zbMATH Keywords

option pricingmodel calibrationinformation setjump-diffusionsestimation bias

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric inference (62F99) Derivative securities (option pricing, hedging, etc.) (91G20)

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