Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25
, enabling us to study parameter uncertainty and the risk related to the estimation procedure (estimation risk). In particular …, we use the distribution of empirical parameters from IBM and EURO STOXX50. The evidence suggests that estimation risk … should not be neglected in the context of multidimensional barrier derivatives, as it could cause price differences of up to …
