Option pricing under threshold aitoregressive models by Threshold Esscher Transform

Tak Kuen Siu, H. Tong, H. Yang

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)177-197
Number of pages21
JournalJournal of Industrial and Management Optimization
Volume2
Issue number2
Publication statusPublished - 2006

Cite this

@article{03d853fbf80b4c66b73f7a5b02c3e3ae,
title = "Option pricing under threshold aitoregressive models by Threshold Esscher Transform",
author = "Siu, {Tak Kuen} and H. Tong and H. Yang",
year = "2006",
language = "English",
volume = "2",
pages = "177--197",
journal = "Journal of Industrial and Management Optimization",
issn = "1547-5816",
publisher = "American Institute of Mathematical Sciences",
number = "2",

}

Option pricing under threshold aitoregressive models by Threshold Esscher Transform. / Siu, Tak Kuen; Tong, H.; Yang, H.

In: Journal of Industrial and Management Optimization, Vol. 2, No. 2, 2006, p. 177-197.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Option pricing under threshold aitoregressive models by Threshold Esscher Transform

AU - Siu, Tak Kuen

AU - Tong, H.

AU - Yang, H.

PY - 2006

Y1 - 2006

M3 - Article

VL - 2

SP - 177

EP - 197

JO - Journal of Industrial and Management Optimization

JF - Journal of Industrial and Management Optimization

SN - 1547-5816

IS - 2

ER -