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Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes

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  • Masatoshi Fujisaki
  • Dewei Zhang

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  • Masatoshi Fujisaki & Dewei Zhang, 2009. "Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 111-139, June.
    • Handle: RePEc:kap:apfinm:v:16:y:2009:i:2:p:111-139
    DOI: 10.1007/s10690-009-9089-1
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    References listed on IDEAS

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    1. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
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    Cited by:

    1. Pious Asiimwe & Charles Wilson Mahera & Olivier Menoukeu-Pamen, 2016. "On the Price of Risk Under a Regime Switching CGMY Process," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 305-335, December.

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