Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes
| Year of publication: |
2009
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|---|---|
| Authors: | Fujisaki, Masatoshi ; Zhang, Dewei |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 16.2009, 2, p. 111-139
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| Publisher: |
Springer |
| Subject: | MEMM | Iteration and Newton method | Compound Poisson | VG | Stable | CGMY | NIG | MCMC | Mixture model | European and Asian option |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005016396