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Seminar on Probability and Statistics
Seminar information archive ～04/30｜Next seminar｜Future seminars 05/01～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2009/12/14
14:00-15:10 Room #128 (Graduate School of Math. Sci. Bldg.)
L. VOSTRIKOVA (LAREMA, Departement de Mathematiques, Universite d’Angers, FRANCE)
On the stability of contingent claimes in incomplet models under statistical estimations.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/11.html
L. VOSTRIKOVA (LAREMA, Departement de Mathematiques, Universite d’Angers, FRANCE)
On the stability of contingent claimes in incomplet models under statistical estimations.
[ Abstract ]
In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to tilde{P} and tilde{Q} respectively. Then, we estimate L1 distance of option’s prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Levy models with special choise of martingale measure as Esscher measure, minimal entropy measure and f^q -minimal martingale measure. We illustrate our results by considering GMY and CGMY models.
[ Reference URL ]In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to tilde{P} and tilde{Q} respectively. Then, we estimate L1 distance of option’s prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Levy models with special choise of martingale measure as Esscher measure, minimal entropy measure and f^q -minimal martingale measure. We illustrate our results by considering GMY and CGMY models.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/11.html
