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Mcmc Estimation Of Lévy Jump Models Using Stock And Option Prices
dc.contributor.authorYu, Cindy L.
dc.contributor.authorLi, Haitao
dc.contributor.authorWells, Martin T.
dc.date.accessioned2017-04-13T20:34:23Z
dc.date.available2017-04-13T20:34:23Z
dc.date.issued2011-07
dc.identifier.citationYu, Cindy L.; Li, Haitao; Wells, Martin T. (2011). "Mcmc Estimation Of Lévy Jump Models Using Stock And Option Prices." Mathematical Finance 21(3).
dc.identifier.issn0960-1627
dc.identifier.issn1467-9965
dc.identifier.urihttps://hdl.handle.net/2027.42/136259
dc.publisherBlackwell Publishing Inc
dc.publisherWiley Periodicals, Inc.
dc.subject.othervariance gamma model
dc.subject.otherMarkov Chain Monte Carlo
dc.subject.otheroption pricing
dc.subject.otherLevy processes
dc.titleMcmc Estimation Of Lévy Jump Models Using Stock And Option Prices
dc.typeArticleen_US
dc.rights.robotsIndexNoFollow
dc.subject.hlbsecondlevelFinance
dc.subject.hlbsecondlevelMathematics
dc.subject.hlbtoplevelBusiness and Economics
dc.subject.hlbtoplevelScience
dc.description.peerreviewedPeer Reviewed
dc.contributor.affiliationumUniversity of Michigan
dc.contributor.affiliationotherIowa State University
dc.contributor.affiliationotherCornell University
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/136259/1/j.1467-9965.2010.00439.x.pdf
dc.identifier.doi10.1111/j.1467-9965.2010.00439.x
dc.identifier.sourceMathematical Finance
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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