MSM estimators of European options on assets with jumps

DOI10.1111/1467-9965.00112zbMATH Open0996.91065OpenAlexW2058703217MaRDI QIDQ2757312

João Amaro de Matos

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00112

zbMATH Keywords

method of simulated momentsLévyEuropean option pricing modelsMSM methodsimulated prices

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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