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stat.ME2012★ 3 cited
From Boundary Crossing of Non-Random Functions to Boundary Crossing of Stochastic Processes
Mark Brown, Victor de la Pena, Tony Sit
One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of…
stat.ME2012
Parameter Estimation using Empirical Likelihood combined with Market Information
Steven Kou, Tony Sit, Zhiliang Ying
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan e…