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MSM Estimators of European Options on Assets with Jumps

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  • João Amaro de Matos

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  • João Amaro de Matos, 2001. "MSM Estimators of European Options on Assets with Jumps," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 189-203.
  • Handle: RePEc:bla:mathfi:v:11:y:2001:i:2:p:189-203
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, pages 573-592.
    4. Hiroshi Shirakawa, 1991. "Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes," Mathematical Finance, Wiley Blackwell, pages 77-94.
    5. Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-528, June.
    6. Alan Brace & Marek Musiela, 1994. "A Multifactor Gauss Markov Implementation Of Heath, Jarrow, And Morton," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 259-283.
    7. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    8. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    9. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    10. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
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