This paper benefits from the comments by the two anonymous reviewers and the participants of the 2004 American Finance Association meetings in San Diego, the Daiwa International Workshop in Financial Engineering held in Tokyo and Kyoto in August 2004, the 2004 Annual Derivatives Conference in New York, the Conference on Financial and Economic Policies and Financial Engineering in Taipei in May 2004, the Workshop on Mathematical Finance and Insurance in Huangshan, China in May 2004 and the Risk Management in Insurance Conference at University of Waterloo in June 2004. The authors also thank the seminar participants at Providence University and the National Center for Theoretical Sciences in Taiwan for their comments. Financial support from both the Social Sciences and Humanities Research Council of Canada and the Natural Sciences and Engineering Research Council of Canada is gratefully acknowledged.
APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING
Version of Record online: 4 JAN 2006
Volume 16, Issue 1, pages 21–52, January 2006
How to Cite
Duan, J.-C., Ritchken, P. and Sun, Z. (2006), APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING. Mathematical Finance, 16: 21–52. doi: 10.1111/j.1467-9965.2006.00259.x
- Issue online: 4 JAN 2006
- Version of Record online: 4 JAN 2006
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