Option Pricing for Pure Jump Processes with Markov Switching Compensators
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Volume (Year): 10 (2006)
Issue (Month): 2 (April)
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References listed on IDEAS
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- Knight, John & Yu, Jun, 1999.
"Empirical Characteristic Function in Time Series Estimation,"
220, Department of Economics, The University of Auckland.
- Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.
- Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December.
- Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
- David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non-Attainable Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308.
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