Option pricing under threshold aitoregressive models by Threshold Esscher Transform

Tak Kuen Siu, H. Tong, H. Yang

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	177-197
Number of pages	21
Journal	Journal of Industrial and Management Optimization
Volume	2
Issue number	2
Publication status	Published - 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",

}