Publication Type

Master Thesis

Publication Date

2010

Abstract

This paper extends the simulation-based estimation method proposed by Phillips and Yu (2009) to the cross-sectional case. We examine their finite-sample performance by conducting Monte-Carlo simulations of this simulation-based method to both the time-series model and the cross-sectional model. The simulation results show that the proposed simulation based estimator can always reduce the percentage bias over the respective MLE and OLS estimator. Meanwhile, they do not significantly increase the variance or RMSE over their correspondent MLE and OLS estimator.

Keywords

simulation-based estimation method, Black-Scholes model, cross-sectional case

Degree Awarded

MSc in Economics

Discipline

Econometrics | Finance

Supervisor(s)

Yu, Jun

Copyright Owner and License

Yu Hua Nan Lu #9, Hua Hao Yue Yuan, 3-2-404, Nanjing, Jiangsu, China 210000

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