𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Estimating cash settlement price: The bootstrap and other estimators

✍ Scribed by Cita, John; Lien, Donald

Book ID
101222845
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
196 KB
Volume
17
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Many cash settlement contracts also use an index as the underlying cash commodity. In such cases, the underlying commodity doubles as the settlement index.

2 Prices for assets traded over the counter (or in nonexchange-type settings) are certainly more private in nature and correspondingly more difficult to obtain. It is the relatively limited trading volume in assets of this type and the cost of continuously disseminating price information that restricts the availability of their prices.

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It is seen in simulations and conΓΏrmed theoretically that: (i) the loss in accuracy of the Monte Carlo approximation of the bootstrap estimate can be inΓΏnite, due to the additional uncertainty introduced by ΓΏnite resampling, and (ii) the dimension of the data or the estimate of interest a ect drasti