MSM Estimators of Eeuropean Options on Assets With Jumps

Detalhes bibliográficos
Autor(a) principal: Amaro de Matos, João
Data de Publicação: 1998
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/89025
Resumo: This paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and Billion [7] can be extended to the case where the underlying asset prices' follow a certain general class of jump-diffusion processes (known as Levy processes), under some regularity conditions, with no losses on their asymptotic properties, still allowing for the joint test of the model.
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spelling MSM Estimators of Eeuropean Options on Assets With JumpsThis paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and Billion [7] can be extended to the case where the underlying asset prices' follow a certain general class of jump-diffusion processes (known as Levy processes), under some regularity conditions, with no losses on their asymptotic properties, still allowing for the joint test of the model.Nova SBERUNAmaro de Matos, João2019-12-02T12:56:50Z1998-071998-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/89025engMatos, Amaro de Matos, MSM Estimators of Eeuropean Options on Assets With Jumps (July, 1998). FEUNL Working Paper Series No. 326info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:39:31Zoai:run.unl.pt:10362/89025Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:36:54.629670Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv MSM Estimators of Eeuropean Options on Assets With Jumps
title MSM Estimators of Eeuropean Options on Assets With Jumps
spellingShingle MSM Estimators of Eeuropean Options on Assets With Jumps
Amaro de Matos, João
title_short MSM Estimators of Eeuropean Options on Assets With Jumps
title_full MSM Estimators of Eeuropean Options on Assets With Jumps
title_fullStr MSM Estimators of Eeuropean Options on Assets With Jumps
title_full_unstemmed MSM Estimators of Eeuropean Options on Assets With Jumps
title_sort MSM Estimators of Eeuropean Options on Assets With Jumps
author Amaro de Matos, João
author_facet Amaro de Matos, João
author_role author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Amaro de Matos, João
description This paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and Billion [7] can be extended to the case where the underlying asset prices' follow a certain general class of jump-diffusion processes (known as Levy processes), under some regularity conditions, with no losses on their asymptotic properties, still allowing for the joint test of the model.
publishDate 1998
dc.date.none.fl_str_mv 1998-07
1998-07-01T00:00:00Z
2019-12-02T12:56:50Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/89025
url http://hdl.handle.net/10362/89025
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Matos, Amaro de Matos, MSM Estimators of Eeuropean Options on Assets With Jumps (July, 1998). FEUNL Working Paper Series No. 326
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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dc.publisher.none.fl_str_mv Nova SBE
publisher.none.fl_str_mv Nova SBE
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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