- 期刊
Statistical Estimation of Asset Pricing in Case of Heavy-Tailed Distributions
並列摘要
Under the classical assumption that the second moment of an option payoff variable is finite, the empirical estimator of option pricing has already been well studied in the literature. However, the result is not applicable when the option payoff variable follows any distribution with infinite second moment, which is a frequent situation in practice. In this paper we propose a new estimator and confidence interval of a contingent claim pricing which is applicable in the case of heavy-tailed distributions.
延伸閱讀
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