Option pricing under threshold autoregressive models by threshold Esscher transform
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Publication:2494607
DOI10.3934/JIMO.2006.2.177zbMath1135.91362OpenAlexW2041981444MaRDI QIDQ2494607
Tak Kuen Siu, Hailiang Yang, Howell Tong
Publication date: 14 July 2006
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2006.2.177
Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
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