MULTI-ASSET EMPIRICAL MARTINGALE PRICE ESTIMATORS FOR FINANCIAL DERIVATIVES

Huang, SF; Ciou, GC

Huang, SF (reprint author), Natl Univ Kaohsiung, Dept Appl Math, Kaohsiung 81148, Taiwan.

STATISTICA SINICA, 2018; 28 (2): 995

Abstract

This study proposes an empirical martingale simulation (EMS) and an empirical P-martingale simulation (EPMS) as price estimators for multi-asset finan......

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