統計数学セミナー
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Seminar on Probability and Statistics Monday December 14 2009 Tokyo 128 2:00-3:10 pm
On the stability of contingent claimes in incomplet models under statistical estimations.
L. VOSTRIKOVA LAREMA, Departement de Mathematiques, Universite d’Angers, FRANCE 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.
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