Applications of the Likelihood Theory in Finance: Modelling and Pricing

DOI10.1111/J.1751-5823.2012.00197.XzbMath1416.62586arXiv1204.4611OpenAlexW1927405722MaRDI QIDQ4968558

Martin Tietje, Arnold Janssen

Publication date: 16 July 2019

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4611

zbMATH Keywords

completenesslocal asymptotic normalitycontiguitymartingale measureBayes riskpricing formulastatistical experimentNeyman-Pearson testfiltered likelihood ratio process

Mathematics Subject Classification ID

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

Related Items (1)

Distributional divergence, statistical experiments and consequences in option pricing

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