Abstract
Under the classical assumption that the second moment of an option payoff variable is finite, the empirical estimator of option pricing has already been well studied in the literature. However, the result is not applicable when the option payoff variable follows any distribution with infinite second moment, which is a frequent situation in practice. In this paper we propose a new estimator and confidence interval of a contingent claim pricing which is applicable in the case of heavy-tailed distributions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Intelligent Technologies and Applied Statistics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
