Martin Wells gratefully acknowledges the support of NSF Grant DMS 02-04252. We thank Yacine Aït-Sahalia for providing the data used in this study. We thank Yacine Aït-Sahalia, Antje Berndt, Peter Carr, Francois Derrien, Jefferson Duarte, Bjorn Eraker, Wayne Fuller, John Hull, Raymond Kan, Bob Jarrow, George Jiang, Dilip Madan (the editor), John Maheu, Nour Meddahi, Tom McCurdy, Ray Renken, Sidney Resnick, Ernst Schaumburg, Neil Shephard, George Tauchen, Liuren Wu, the associate editor, two anonymous referees, and seminar participants at Cornell University, Hong Kong University of Science and Technology, Iowa State University, Rice University, Virginia Commonwealth University, the University of Arizona, the University of Toronto, and the 17th Derivatives Conference at FDIC for helpful comments. We are responsible for any remaining errors.
MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
Version of Record online: 19 OCT 2010
© 2010 Wiley Periodicals, Inc.
Volume 21, Issue 3, pages 383–422, July 2011
How to Cite
Yu, C. L., Li, H. and Wells, M. T. (2011), MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES. Mathematical Finance, 21: 383–422. doi: 10.1111/j.1467-9965.2010.00439.x
- Issue online: 12 MAY 2011
- Version of Record online: 19 OCT 2010
- Manuscript received June 2007; final revision received August 2009.
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