Premium
MSM Estimators of European Options on Assets with Jumps
Author(s) -
Amaro de Matos João
Publication year - 2001
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/1467-9965.00112
Subject(s) - estimator , econometrics , economics , asset (computer security) , valuation of options , mathematics , computer science , statistics , computer security
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.