Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain (Q3567573)
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scientific article; zbMATH DE number 5722281
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| English | Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain |
scientific article; zbMATH DE number 5722281 |
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Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain (English)
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17 June 2010
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Markov chain
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delta method
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asymptotic properties
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European option
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0.85802907
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0.8509432
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0.84921277
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0.8491341
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0.84721136
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0.84637815
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0.8460688
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