Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain

DOI10.1080/09720510.2006.10701233MaRDI QIDQ3567573zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chainasymptotic propertiesEuropean optiondelta method

Mathematics Subject Classification ID

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)

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Cited in

(3)

• Financial applications of bivariate Markov processes
• Timing portfolio strategies with exponential Lévy processes
• A convergence result in the estimation of Markov chains with application to compound options

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