Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 16 (2009)
Issue (Month): 2 (June)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
MEMM; Iteration and Newton method; Compound Poisson; VG; Stable; CGMY; NIG; MCMC; Mixture model; European and Asian option;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
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