Robust estimation of superhedging prices

Robust estimation of superhedging prices

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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...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Obloj, J, Wiesel, J
Format:	Journal article
Język:	English
Wydane:	Institute of Mathematical Statistics 2021

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