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 plugin estimator based on empirical measures and show it is consistent but lacks suitable robustness. To address this we propose novel estimators whi...
| Main Authors: | , |
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| Formato: | Working paper |
| Idioma: | English |
| Publicado em: |
University of Oxford
2020
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