Strong consistency of the empirical martingale simulation option price estimator

Acta Mathematicae Applicatae Sinica

Volumn 25, Issue 3, 2009, Pages 355-368

  Yuan, Zhu Shun ^a   Chen, Ge Mai ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

Black scholes; GARCH; Monte carlo

Indexed keywords

EID: 66749096169     PISSN: 01689673     EISSN: 16183932     Source Type: Journal    
DOI: 10.1007/s10255-008-8801-7     Document Type: Article

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