MSM estimators of European options on assets with jumps

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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.

Original languageEnglish
Pages (from-to)189-203
Number of pages15
JournalMathematical Finance
Issue number2
Publication statusPublished - Apr 2001


  • Asymptotic properties of estimators
  • European options
  • Lévy processes
  • Method of simulated moments
  • Simulated pricing


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