Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
DOI10.1080/09720510.2006.10701233zbMATH Open1193.91153OpenAlexW2139729057MaRDI QIDQ3567573FDOQ3567573
Authors: Guglielmo D'Amico 
Publication date: 17 June 2010
Published in: Journal of Statistics and Management Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/09720510.2006.10701233
Recommendations
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Bayesian statistical inference for European options with stock liquidity
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- An inverse European option problem in estimating the time-dependent volatility function with statistical analysis
- A convergence result in the estimation of Markov chains with application to compound options
- Statistical distributions, European option, American option, and option bounds
- A Markov chain approximation scheme for option pricing under skew diffusions
- Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Cited In (3)
This page was built for publication: Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3567573)
