Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Zhushun Yuan, Gemai Chen
| Year of publication: |
2009
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|---|---|
| Authors: | Yuan, Zhushun ; Chen, Gemai |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 55.2009, 8, p. 1438-1450
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| Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model | ARCH-Modell | ARCH model | Martingal | Martingale | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003885452