Distributional divergence, statistical experiments and consequences in option pricing

DOI10.1080/02331888.2017.1369079zbMath1390.62228OpenAlexW2753688954MaRDI QIDQ4639146

Yannis G. Yatracos

Publication date: 3 May 2018

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2017.1369079

zbMATH Keywords

stochastic differential equationinfinitely divisible distributionstatistical experimentrisk neutral probabilitymarket risk premiumdistributional divergencemarket's informational efficiency

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Asymptotic methods in statistical decision theory
• The statistical information contained in additional observations
• Asymptotics in statistics: some basic concepts
• Asymptotics in statistics. Some basic concepts.
• Introductory lectures on fluctuations of Lévy processes with applications.
• THE MEANING OF MARKET EFFICIENCY
• Applications of the Likelihood Theory in Finance: Modelling and Pricing
• Option pricing: A simplified approach
• On the Assumptions Used to Prove Asymptotic Normality of Maximum Likelihood Estimates
• Contiguity of Probability Measures
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