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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
Divisions: Economics
Statistics
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
Date Deposited: 02 Jul 2008 14:37
Last Modified: 15 Sep 2023 13:24
URI: http://eprints.lse.ac.uk/id/eprint/6244

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