A modified empirical martingale simulation for financial derivative pricing

DOI10.1080/03610926.2012.661504MaRDI QIDQ2815364zbMATH OpenOpenAlexFDO

Authors Shih-Feng Huang

Publication date 28 June 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2012.661504

zbMATH Keywords

GARCHoption pricingempirical martingale simulation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Empirical martingale simulation for asset prices
• Asymptotic distribution of the EPMS estimator for financial derivatives pricing
• Asymptotic distribution of the EMS option price estimator
• Multi-asset empirical martingale price estimators derivatives
• Strong consistency of the empirical martingale simulation option price estimator

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Empirical martingale simulation for asset prices
• GARCH option pricing: A semiparametric approach
• Generalized autoregressive conditional heteroscedasticity
• Model risk of the implied GARCH-normal model
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(7)

• Empirical martingale simulation for asset prices
• scientific article; zbMATH DE number 1943897 (Why is no real title available?)
• Multi-asset empirical martingale price estimators derivatives
• Hedging barrier options in GARCH models with transaction costs
• Strong consistency of the empirical martingale simulation option price estimator
• Asymptotic distribution of the EMS option price estimator
• Asymptotic distribution of the EPMS estimator for financial derivatives pricing

This page was built for publication: A modified empirical martingale simulation for financial derivative pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2815364)