Uniform convergence of empirical characteristic functions in a complex domain with applications to option pricing

DOI10.1016/J.SPL.2009.10.017zbMATH Open1186.60026OpenAlexW2008210420MaRDI QIDQ2267602FDOQ2267602

Authors: Karol Binkowski, Andrzej S. Kozek 

Publication date: 1 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.spl.2009.10.017

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zbMATH Keywords

uniform convergenceempirical option pricing formulaoption pricing for Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Strong limit theorems (60F15) Stochastic models in economics (91B70)

Cites Work

• The empirical characteristic function and its applications
• Combinatorial methods in density estimation
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Cited In (1)

• Lewis model revisited: option pricing with Lévy processes

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