MSM Estimators of Eeuropean Options on Assets With Jumps

Amaro de Matos, João

http://hdl.handle.net/10362/89025

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Autores

Amaro de Matos, João

Resumo(s)

This paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and Billion [7] can be extended to the case where the underlying asset prices' follow a certain general class of jump-diffusion processes (known as Levy processes), under some regularity conditions, with no losses on their asymptotic properties, still allowing for the joint test of the model.

URI

http://hdl.handle.net/10362/89025

Citação

Matos, Amaro de Matos, MSM Estimators of Eeuropean Options on Assets With Jumps (July, 1998). FEUNL Working Paper Series No. 326

Editora

Nova SBE

Coleções

NSBE - Working Paper Series

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