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Asymptotic Normality for EMS Option Price Estimator with Continuous or Discontinuous Payoff Functions

Yuan, Zhushun; Chen, Gemai - In: Management Science 55 (2009) 8, pp. 1438-1450

Empirical martingale simulation (EMS) was proposed by Duan and Simonato (Duan, J.-C., J.-G. Simonato. 1998. Empirical martingale simulation for asset prices. Management Sci. 44(9) 1218-1233) as an adjustment to the standard Monte Carlo simulation to reduce simulation errors. The EMS price...

Persistent link: https://www.econbiz.de/10009204567

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

Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450

Persistent link: https://www.econbiz.de/10003885452

Asymptotic Normality for EMS Option Price Estimator with Continuous or Discontinuous Payoff Functions

Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438

Persistent link: https://www.econbiz.de/10008286011