Introduction: Simulating Security Returns

Giovanni Barone Adesi

Chapter 1 in Simulating Security Returns: A Filtered Historical Simulation Approach, 2014, pp 1-8 from Palgrave Macmillan

Abstract: Abstract The basic methods and properties of filtered historical simulations are highlighted and compared to alternatives in the academic literature. Measure changes through changes in the parameters of the stochastic process are contrasted to the more commonly used changes in the distribution of residual returns.

Keywords: Option Price; Asset Return; GARCH Model; Historical Simulation; Option Price Model (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-46555-9_1

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DOI: 10.1057/9781137465559_1

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