1 |
Song, S. and Mykland, P. A. (2006). An asymptotic decomposition of hedging errors, Journal of the Korean Statistical Society, 35, 115-142
과학기술학회마을
|
2 |
Song, S. (2007). Asymptotic option pricing under a pure jump process, Journal of the Korean Statistical Society, 36, 237-256
과학기술학회마을
|
3 |
Schoutens, W. (2003). L¶evy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons, New York
|
4 |
Kirch, M. and Runggaldier, W. J. (2004). Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities, Mathematical Finance SIAM Journal on Control and Optimization 43, 1174-1195
DOI
ScienceOn
|
5 |
Frey, R. (2000). Risk minimization with incomplete information in a model for high-frequency data, Mathematical Finance, 10, 215-225
DOI
ScienceOn
|
6 |
Bates, D. M. and Watts, D. G. (1988). Nonlinear Regression Analysis and its Applications, John Wiley &Sons, New York
|
7 |
Leon, J. A., Sole, J. L., Utzet, F. and Vives, J. (2002). On Levy processes, Malliavin calculus and market models with jumps, Finance and Stochastics, 6, 197-225
DOI
|