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Uniform convergence of empirical characteristic functions in a complex domain with applications to option pricing

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  • Binkowski, Karol
  • Kozek, Andrzej

Abstract

In Csörgo and Totik (1983) and Csörgo (1985) it has been shown that in the case of independent identically distributed (iid) random variables X1,X2,...,Xn the empirical characteristic function (ecf) converges uniformly, for u

Suggested Citation

  • Binkowski, Karol & Kozek, Andrzej, 2010. "Uniform convergence of empirical characteristic functions in a complex domain with applications to option pricing," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 270-276, March.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:270-276
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    References listed on IDEAS

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    1. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    2. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv.
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