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240126s2018 xx |||||o 00| ||eng c |
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|a (DE-627)JST140249915
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|a (JST)44841934
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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| 100 |
1 |
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|a Huang, Shih-Feng
|e verfasserin
|4 aut
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| 245 |
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|a MULTI-ASSET EMPIRICAL MARTINGALE PRICE ESTIMATORS FOR FINANCIAL DERIVATIVES
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|c 2018
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| 336 |
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
|2 rdamedia
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|a Online-Ressource
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|a 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 established. Several simulation scenarios are conducted to investigate the performance of the proposed price estimators under multivariate geometric Brownian motion, multivariate GARCH models, multivariate jump-diffusion models, and multivariate stochastic volatility models. Numerical results indicate that the multi-asset EMS and EPMS price estimators are capable of improving the efficiency of their Monte Carlo counterparts. In addition, the asymptotic distribution serves as a persuasive approximation to the finite-sample distribution of the EPMS price estimator, which helps to reduce the computation time of finding confidence intervals for the prices of multi-asset derivatives.
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|a © 2018 STATISTICA SINICA
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
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| 650 |
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4 |
|a Business
|x Business operations
|x Commerce
|x Pricing
|x Prices
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
|x Stochastic processes
|x Martingales
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Stochastic models
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| 650 |
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4 |
|a Applied sciences
|x Research methods
|x Modeling
|x Simulations
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| 650 |
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4 |
|a Law
|x Civil law
|x Contract law
|x Contracts
|x Financial contracts
|x Derivative contracts
|x Options contracts
|x Call options
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| 650 |
|
4 |
|a Law
|x Civil law
|x Contract law
|x Contracts
|x Financial contracts
|x Derivative contracts
|x Options contracts
|x Put options
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| 650 |
|
4 |
|a Law
|x Civil law
|x Contract law
|x Contracts
|x Financial contracts
|x Derivative contracts
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| 650 |
|
4 |
|a Economics
|x Economic principles
|x Economic efficiency
|x Price efficiency
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| 650 |
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4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical theorems
|x General
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| 655 |
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4 |
|a research-article
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| 700 |
1 |
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|a Ciou, Guan-Chih
|e verfasserin
|4 aut
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| 773 |
0 |
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|i Enthalten in
|t Statistica Sinica. in
|d Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association, 1991
|g 28(2018), 2, Seite 995-1008
|w (DE-627)JST098920278
|x 19968507
|7 nnns
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| 773 |
1 |
8 |
|g volume:28
|g year:2018
|g number:2
|g pages:995-1008
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| 856 |
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|u https://www.jstor.org/stable/44841934
|3 Volltext
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|a GBV_JST
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|a AR
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|d 28
|j 2018
|e 2
|h 995-1008
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