Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain-Reference-Cited by-同舟云学术

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Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain

Published:2006-11 Issue:3 Volume:9 Page:737-754
ISSN:0972-0510
Container-title:Journal of Statistics and Management Systems
language:en
Short-container-title:Journal of Statistics and Management Systems

Author:

D’Amico Guglielmo

Publisher

Informa UK Limited

Link

http://www.tandfonline.com/doi/pdf/10.1080/09720510.2006.10701233

Reference13 articles.

1. Asymptotic bootstrap validity for finite markov chains

2. The Stanford Meetings of the Institute of Mathematical Statistics;Billingsley P.,1960

3. An introduction to statistical finance

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