On the Number of State Variables in Options Pricing

DOI10.1287/mnsc.1100.1222zbMath1232.91670OpenAlexW2078220623WikidataQ57833943 ScholiaQ57833943MaRDI QIDQ3117332

Gang Li, Chu Zhang

Publication date: 27 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1a4328a4986124ec55d330422aaebbece7b80600

zbMATH Keywords

state variablesnonparametric methodoptions pricing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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