Statistical options: crash resistant financial contracts based on robust estimation

DOI10.1016/j.spl.2006.06.010zbMath1106.62118OpenAlexW1981173603MaRDI QIDQ871038

L. Ramprasath, Kesar Singh

Publication date: 15 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.06.010

zbMATH Keywords

saddlepoint approximationhedgingmedianBlack-Scholes modeltrimmed meanscrash resistant optionsEuropean stock optionsHodges-Lehman estimatorrobust location estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Kesar Singh's contributions to statistical methodology

Cites Work

• Unnamed Item
• Saddlepoint approximations to option prices
• Financial options and statistical prediction intervals
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Conservative delta hedging.
• Sample quantiles of stochastic processes with stationary and independent ents
• Option pricing when underlying stock returns are discontinuous

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