MSM Estimators of European Options on Assets with Jumps
João Amaro de Matos ()
Mathematical Finance, 2001, vol. 11, issue 2, 189-203
This paper shows that, under some regularity conditions, the method of simulated moments estimator of European option pricing models developed by Bossaerts and Hillion (1993) can be extended to the case where the prices of the underlying asset follow Lévy processes, which allow for jumps, with no losses on their asymptotic properties, still allowing for the joint test of the model.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:11:y:2001:i:2:p:189-203
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