Asymptotic normality for ems option price estimator with continuous or discontinuous payoff functions

Management Science

Volumn 55, Issue 8, 2009, Pages 1438-1450

  Yuan, Zhushun ^a   Chen, Gemai ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

Asymptotic normality; Black scholes; Coverage rate; Empirical martingale simulation; GARCH; Monte Carlo; Options; Regression analysis

Indexed keywords

ASYMPTOTIC NORMALITY; BLACK-SCHOLES; COVERAGE RATE; EMPIRICAL MARTINGALE SIMULATION; GARCH; MONTE CARLO; OPTIONS;

COMPUTER SIMULATION LANGUAGES; COSTS; DISTRIBUTION FUNCTIONS; ESTIMATION; MAGNETIC SUSCEPTIBILITY; MONTE CARLO METHODS; NORMAL DISTRIBUTION; PIECEWISE LINEAR TECHNIQUES; REGRESSION ANALYSIS;

ASYMPTOTIC ANALYSIS;

EID: 69049102244     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1090.1036     Document Type: Article

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