Statistical options: crash resistant financial contracts based on robust estimation

DOI10.1016/J.SPL.2006.06.010zbMATH Open1106.62118OpenAlexW1981173603MaRDI QIDQ871038FDOQ871038

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

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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)

Cites Work

• Title not available (Why is that?)
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Option pricing when underlying stock returns are discontinuous
• Saddlepoint approximations to option prices
• Conservative delta hedging.
• Financial options and statistical prediction intervals
• Sample quantiles of stochastic processes with stationary and independent ents

Cited In (1)

• Kesar Singh's contributions to statistical methodology

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