Asymptotic distribution of the EPMS estimator for financial derivatives pricing.
Shih-Feng HuangYa-Ting TuPublished in: Comput. Stat. Data Anal. (2014)
Keyphrases
- financial markets
- confidence intervals
- large deviations
- decision making
- higher order
- distributional assumptions
- rates of convergence
- least squares
- central limit theorem
- laplace transform
- probability distribution
- maximum likelihood estimator
- expected values
- stock price
- stock market
- random variables
- worst case
- asymptotically optimal
- power law