MSM Estimators of European Options on Assets with Jumps

• 1 April 2001
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 11  (2) , 189-203
• https://doi.org/10.1111/1467-9965.00112

Abstract

Keywords

• METHOD OF SIMULATED MOMENTS
• EUROPEAN OPTIONS
• SIMULATED PRICING
• LÉVY PROCESSES
• ASYMPTOTIC PROPERTIES OF ESTIMATORS