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

DOI10.1016/J.SPL.2009.10.017MaRDI QIDQ2267602zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Combinatorial methods in density estimation
• The empirical characteristic function and its applications

Cited in

(1)

• Lewis model revisited: option pricing with Lévy processes

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