MULTI-ASSET EMPIRICAL MARTINGALE PRICE ESTIMATORS FOR FINANCIAL DERIVATIVES
This study proposes an empirical martingale simulation (EMS) and an empirical P-martingale simulation (EPMS) as price estimators for multi-asset financial derivatives. Under mild assumptions on the payoff functions, strong consistency and asymptotic normality of the proposed estimators are establish...
| Veröffentlicht in: | Statistica Sinica. in. - Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association, 1991. - 28(2018), 2, Seite 995-1008 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2018
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| Zugriff auf das übergeordnete Werk: | Statistica Sinica. in |
| Schlagworte: | Mathematics Business Applied sciences Law Economics |
| Online verfügbar |
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