FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2104691228> ?p ?o ?g. }

• W2104691228 endingPage "3705" @default.
• W2104691228 startingPage "3669" @default.
• W2104691228 abstract "A new methodology is proposed to estimate theoretical 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 necessarily the best method in finite samples. This paper proposes a simulation-based method. When it is used in connection with ML, it can improve the finite-sample performance of the ML estimator while maintaining its good asymptotic properties. The method is implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond and bond option pricing model. It is especially favored when the bias in ML is large due to strong persistence in the data or strong nonlinearity in pricing functions. Monte Carlo studies show that the proposed procedures achieve bias reductions over ML estimation in pricing contingent claims when ML is biased. The bias reductions are sometimes accompanied by reductions in variance. Empirical applications to U.S. Treasury bills highlight the differences between the bond prices implied by the simulation-based approach and those delivered by ML. Some consequences for the statistical testing of contingent-claim pricing models are discussed." @default.
• W2104691228 created "2016-06-24" @default.
• W2104691228 creator A5076177583 @default.
• W2104691228 creator A5084275232 @default.
• W2104691228 date "2009-03-02" @default.
• W2104691228 modified "2023-10-18" @default.
• W2104691228 title "Simulation-Based Estimation of Contingent-Claims Prices" @default.
• W2104691228 cites W1521991828 @default.
• W2104691228 cites W1533792492 @default.
• W2104691228 cites W1969367709 @default.
• W2104691228 cites W1984175702 @default.
• W2104691228 cites W1993357320 @default.
• W2104691228 cites W1994908910 @default.
• W2104691228 cites W2000151764 @default.
• W2104691228 cites W2023581626 @default.
• W2104691228 cites W2025006397 @default.
• W2104691228 cites W2031467205 @default.
• W2104691228 cites W2037174421 @default.
• W2104691228 cites W2054534049 @default.
• W2104691228 cites W2061426511 @default.
• W2104691228 cites W2063620673 @default.
• W2104691228 cites W2064978316 @default.
• W2104691228 cites W2068629725 @default.
• W2104691228 cites W2076057077 @default.
• W2104691228 cites W2077791698 @default.
• W2104691228 cites W2079672223 @default.
• W2104691228 cites W2082996157 @default.
• W2104691228 cites W2085144577 @default.
• W2104691228 cites W2085562414 @default.
• W2104691228 cites W2091056387 @default.
• W2104691228 cites W2098371868 @default.
• W2104691228 cites W2098754649 @default.
• W2104691228 cites W2119592891 @default.
• W2104691228 cites W2132552502 @default.
• W2104691228 cites W2138661231 @default.
• W2104691228 cites W2141312445 @default.
• W2104691228 cites W2141419326 @default.
• W2104691228 cites W2158488639 @default.
• W2104691228 cites W2168079093 @default.
• W2104691228 cites W2169829317 @default.
• W2104691228 cites W3021444882 @default.
• W2104691228 cites W3022114093 @default.
• W2104691228 cites W3121174621 @default.
• W2104691228 cites W3121788253 @default.
• W2104691228 cites W3122025015 @default.
• W2104691228 cites W3122150532 @default.
• W2104691228 cites W3122511407 @default.
• W2104691228 cites W3123173808 @default.
• W2104691228 cites W3123321876 @default.
• W2104691228 cites W3123594956 @default.
• W2104691228 cites W3123686478 @default.
• W2104691228 cites W3125050320 @default.
• W2104691228 cites W3125632561 @default.
• W2104691228 cites W3125732291 @default.
• W2104691228 cites W4231057775 @default.
• W2104691228 cites W4233064297 @default.
• W2104691228 cites W4236751433 @default.
• W2104691228 cites W4239629266 @default.
• W2104691228 cites W4241724032 @default.
• W2104691228 cites W4248104870 @default.
• W2104691228 doi "https://doi.org/10.1093/rfs/hhp009" @default.
• W2104691228 hasPublicationYear "2009" @default.
• W2104691228 type Work @default.
• W2104691228 sameAs 2104691228 @default.
• W2104691228 citedByCount "36" @default.
• W2104691228 countsByYear W21046912282012 @default.
• W2104691228 countsByYear W21046912282013 @default.
• W2104691228 countsByYear W21046912282014 @default.
• W2104691228 countsByYear W21046912282015 @default.
• W2104691228 countsByYear W21046912282016 @default.
• W2104691228 countsByYear W21046912282017 @default.
• W2104691228 countsByYear W21046912282018 @default.
• W2104691228 countsByYear W21046912282019 @default.
• W2104691228 countsByYear W21046912282021 @default.
• W2104691228 countsByYear W21046912282023 @default.
• W2104691228 crossrefType "journal-article" @default.
• W2104691228 hasAuthorship W2104691228A5076177583 @default.
• W2104691228 hasAuthorship W2104691228A5084275232 @default.
• W2104691228 hasBestOaLocation W21046912282 @default.
• W2104691228 hasConcept C10138342 @default.
• W2104691228 hasConcept C105795698 @default.
• W2104691228 hasConcept C149782125 @default.
• W2104691228 hasConcept C162324750 @default.
• W2104691228 hasConcept C166957645 @default.
• W2104691228 hasConcept C185429906 @default.
• W2104691228 hasConcept C19499675 @default.
• W2104691228 hasConcept C201608381 @default.
• W2104691228 hasConcept C2780889827 @default.
• W2104691228 hasConcept C32959826 @default.
• W2104691228 hasConcept C33923547 @default.
• W2104691228 hasConcept C69738904 @default.
• W2104691228 hasConcept C95457728 @default.
• W2104691228 hasConceptScore W2104691228C10138342 @default.
• W2104691228 hasConceptScore W2104691228C105795698 @default.
• W2104691228 hasConceptScore W2104691228C149782125 @default.
• W2104691228 hasConceptScore W2104691228C162324750 @default.
• W2104691228 hasConceptScore W2104691228C166957645 @default.
• W2104691228 hasConceptScore W2104691228C185429906 @default.

• next