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

DOI10.1080/09720510.2006.10701233zbMath1193.91153MaRDI QIDQ3567573

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

asymptotic properties; Markov chain; delta method; European option

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62M05: Markov processes: estimation; hidden Markov models

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

91G20: Derivative securities (option pricing, hedging, etc.)

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