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Impact of bias in the estimation of American-style options by Monte Carlo simulation

Anukal Chiralaksanakul - In: Journal of modelling in management 11 (2016) 2, pp. 644-659

Persistent link: https://www.econbiz.de/10011529578

Simulation-based estimation of contingent-claims prices

Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007

Persistent link: https://www.econbiz.de/10003462516

Simulation-based estimation of contingent-claims prices

Phillips, Peter C. B.; Yu, Jun - In: The review of financial studies 22 (2009) 9, pp. 3669-3705

Persistent link: https://www.econbiz.de/10003885728

Bias correction for bond option greeks via jackknife

Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63

Persistent link: https://www.econbiz.de/10012612919

Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics

Gür, Sercan - 2019

Persistent link: https://www.econbiz.de/10012197036

A semi-closed form approximation of arbitrage‑free call option price surface

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457

Persistent link: https://www.econbiz.de/10014549032

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

Dash, Mihir - 2012

Heteroscedasticity (GARCH) family of models.The objective of the present study is to analyze systematic bias in the pricing of options … options were fairly priced. Any systematic bias in options pricing would provide evidence for arbitrage opportunities …

Persistent link: https://www.econbiz.de/10013109552

Biased crossvalidation for a kernel regression estimator and its derivatives

Härdle, Wolfgang; Carroll, Raymond J. - 1989

Persistent link: https://www.econbiz.de/10000774582

Higher order bias reduction of kernel density and density derivative estimation at boundary points

Bearse, Peter; Rilstone, Paul - In: Nonparametric econometric methods, (pp. 319-331). 2009

A new, direct method is developed for reducing, to an arbitrary order, the boundary bias of kernel density and density … derivative estimators. The basic asymptotic properties of the estimators are derived. Simple examples are provided. A number of …

Persistent link: https://www.econbiz.de/10015382580

Higher order bias reduction of Kernel density and density derivative estimation at boundary points

Bearse, Peter M.; Rilstone, Paul - In: Nonparametric econometric methods, (pp. 319-331). 2010

Persistent link: https://www.econbiz.de/10010216415