Option pricing under threshold autoregressive models by threshold Esscher transform

Siu, T. K., Tong, H. & Yang, H. (2006). Option pricing under threshold autoregressive models by threshold Esscher transform. Journal of Industrial and Management Optimization, 2(2), 177-197.
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Item Type Article
Copyright holders © 2006 American Institute of Mathematical Sciences
Departments LSE > Academic Departments > Economics
LSE > Academic Departments > Statistics
Date Deposited 02 Jul 2008
URI https://researchonline.lse.ac.uk/id/eprint/6244

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