Financial derivative valuation -- A dynamic semiparametric approach

MaRDI QIDQ5325812zbMATHFDO

Authors Shih-Feng Huang, Meihui Guo

Publication date 24 July 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N3/j19n39/j19n39.html

zbMATH Keywords

copulaAmerican optionBlack-Scholes modelEuropean optionjump-diffusion modelconvertible bondNGARCH modelmulti-dimensional option pricing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(4)

• A data-driven framework for consistent financial valuation and risk measurement
• Hedging barrier options in GARCH models with transaction costs
• Asymptotic distribution of the EPMS estimator for financial derivatives pricing
• Dynamic programming and hedging strategies in discrete time

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