Simulation-Based Estimation of Contingent-Claims Prices
A new methodology is proposed to estimate theortical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not n...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/945 https://ink.library.smu.edu.sg/context/soe_research/article/1944/viewcontent/iioptions10.pdf |
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| Institution: | Singapore Management University |
| Language: | English |