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Option pricing under threshold autoregressive models by threshold Esscher transform - MaRDI portal

Option pricing under threshold autoregressive models by threshold Esscher transform (Q2494607)

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Option pricing under threshold autoregressive models by threshold Esscher transform
scientific article

    Statements

    title
    Option pricing under threshold autoregressive models by threshold Esscher transform (English)
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    author
    Tak Kuen Siu
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    Howell Tong
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    Hailiang Yang
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    publication date
    14 July 2006
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    Identifiers

    zbMATH DE Number
    5041258
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    OpenAlex ID
    W2041981444
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