Option pricing under threshold autoregressive models by threshold Esscher transform

Siu, Tak Kien; Tong, Howell; and Yang, Hailiang (2006) Option pricing under threshold autoregressive models by threshold Esscher transform. Journal of Industrial and Management Optimization, 2 (2). pp. 177-197. ISSN 1547-5816

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Item Type	Article
Departments	Economics Statistics
Date Deposited	02 Jul 2008 14:37
URI	https://researchonline.lse.ac.uk/id/eprint/6244

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Siu, Tak Kien
Tong, Howell
Yang, Hailiang

H Social Sciences (General)
HA Statistics

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