Large Sample Properties of Weighted Monte Carlo Estimators
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DOI: 10.1287/opre.1040.0148
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References listed on IDEAS
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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Cited by:
- Santanu Dey & Sandeep Juneja, 2012. "Incorporating fat tails in financial models using entropic divergence measures," Papers 1203.0643, arXiv.org.
- Aleksandrina Goeva & Henry Lam & Huajie Qian & Bo Zhang, 2019. "Optimization-Based Calibration of Simulation Input Models," Operations Research, INFORMS, vol. 67(5), pages 1362-1382, September.
- Santanu Dey & Sandeep Juneja & Karthyek R. A. Murthy, 2014. "Incorporating Views on Marginal Distributions in the Calibration of Risk Models," Papers 1411.0570, arXiv.org.
- Mario Cerrato, 2008.
"Valuing American Derivatives by Least Squares Methods,"
Working Papers
2008_12, Business School - Economics, University of Glasgow, revised Sep 2008.
- Cerrato, Mario, 2008. "Valuing American Derivatives by Least Squares Methods," SIRE Discussion Papers 2008-44, Scottish Institute for Research in Economics (SIRE).
- Rama Cont, 2023. "In memoriam: Marco Avellaneda (1955–2022)," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 3-15, January.
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Keywords
simulation: statistical analysis; finance: asset pricing;Statistics
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