Bootstraping method used for category 3 products is in fact used also for category 2 products. but how can we mathematically proove that the first one is suitable for category 2 priips and that it converges?

  • $\begingroup$ Please elaborate so that any reader can answer: what are the differences between category 2 and 3 in PRIIPS, and add a link to PRIIPS. A link to Cornish-Fisher would be appreciated too. It will increase your proba to obtain an answer. $\endgroup$ – lehalle Dec 31 '19 at 7:53
  • $\begingroup$ here is a document about the 2 priips categories and the 2 corresponding used methods : esas-joint-committee.europa.eu/Publications/… category 2 product is a product which price is a constant multiple of underlying price like delta one products $\endgroup$ – Leyla92 Jan 7 '20 at 21:07
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    $\begingroup$ Hi Leyla, the second link you gave was to a file on your harddrive. We can’t access that so I removed it. In general, we expect answers to standalone with minimal reference to outside sources. $\endgroup$ – Bob Jansen Jan 8 '20 at 8:05

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