Robust estimation of superhedging prices
We consider statistical estimation of superhedging prices using historical stock returns in a frictionless market with d traded assets. We introduce a plug-in estimator based on empirical measures and show it is consistent but lacks suitable robustness. To address this, we propose novel estimators...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2021
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