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Option pricing under threshold autoregressive models by threshold Esscher transform

Siu, Tak Kien, Tong, Howell and Yang, Hailiang (2006) Option pricing under threshold autoregressive models by threshold Esscher transform. Journal of Industrial and Management Optimization, 2 (2). pp. 177-197. ISSN 1547-5816

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Item Type: Article
Official URL: http://aimsciences.org/journals/jimo/description.h...
Additional Information: © 2006 American Institute of Mathematical Sciences
Library of Congress subject classification: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
Sets: Collections > Economists Online
Departments > Economics
Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 02 Jul 2008 14:37
URL: http://eprints.lse.ac.uk/6244/

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