Asymptotic distribution of the EMS option price estimator

Management Science

Volumn 47, Issue 8, 2001, Pages 1122-1132

  Duan, Jin Chuan ^a,b,c   Gauthier, Geneviève ^a,b,c   Simonato, Jean Guy ^a,b,c  

^a UNIVERSITY OF TORONTO   (Canada)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^c HEC MONTRÉAL   (Canada)

Author keywords

Empirical Martingale Simulation; Linear Control Variate; Monte Carlo; Options

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; MONTE CARLO METHODS; NORMAL DISTRIBUTION;

ASYMPTOTIC DISTRIBUTIONS; EMPIRICAL MARTINGALE SIMULATION (EMS);

MANAGEMENT SCIENCE;

EID: 0035435910     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.47.8.1122.10234     Document Type: Article

References (11)

1. Numerical valuation of high dimensional multivariate European securities
2. The pricing of options and corporate liabilities
3. Options: A Monte Carlo approach
4. Monte Carlo methods for security pricing
5. Control variables with known mean and variance
6. The GARCH option pricing model
7. Empirical Martingale simulation for asset prices
8. Indirect estimation via L = λW
9. Martingales and arbitrage in multi-period securities markets
10. Martingales and stochastic integrals in the theory of continuous trading