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

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