Statistical options: crash resistant financial contracts based on robust estimation

DOI10.1016/J.SPL.2006.06.010MaRDI QIDQ871038zbMATH OpenOpenAlexFDO

Authors L. Ramprasath, Kesar Singh

Publication date 15 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.06.010

zbMATH Keywords

mediansaddlepoint approximationBlack-Scholes modelhedgingtrimmed meanscrash resistant optionsEuropean stock optionsHodges-Lehman estimatorrobust location estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• Conservative delta hedging.
• Financial options and statistical prediction intervals
• Option pricing when underlying stock returns are discontinuous
• Saddlepoint approximations to option prices
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Sample quantiles of stochastic processes with stationary and independent ents

Cited in

(1)

• Kesar Singh's contributions to statistical methodology

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