"Frontmatter". In: Analysis of Financial Time Series

REFERENCES 255Bakshi, G., Cao, C., and Chen, Z. (1997), “Empirical performance of alternative option pricingmodels,” Journal of Finance, 52, 2003–2049.Billingsley, P. (1986), Probability and Measure, 2nd ed., Wiley: New York.Billingsley, P. (1968), Convergence of Probability Measures, Wiley: New York.Black, F. and Scholes, M. (1973), “The pricing of options and corporate liabilities,” Journalof Political Economy, 81, 637–654.Conley, T. G., Hansen, L. P., Luttmer, E. G. J., and Scheinkman, J. A. (1997), “Short-terminterest rates as subordinated diffusions,” Review of Financial Studies, 10, 525–577.Cox, J. C., and Rubinstein, M. (1985), Options Markets, Prentice-Hall: Englewood Cliffs,New Jersey.Donsker, M. (1951), “An invariance principle for certain probability limit theorems,” Mem.American Mathematical Society, No. 6.Duffie, D. (1995), Dynamic Asset Pricing Theory, 2nd ed., Princeton University Press: Princeton,New Jersey.Elerian, O., Chib, S., and Shephard, N. (2001), “Likelihood inference for discretely observednon-linear diffusions,” Econometrica, 69, 959–993.Eraker, B. (2001), “MCMC analysis of diffusion models with application to finance,” Journalof Business & Economic Statistics, 19, 177–191.Gallant, A. R., and Long, J. R. (1997), “Estimating stochastic diffusion equations efficientlyby minimum chi-squared, ” Biometrika, 84, 125–141.Gallant, A. R., and Tauchen, G. (1997), “The relative efficiency of method of moments estimators,”Working paper, Economics Department, University of North Carolina.Hull, J. C. (1997), Options, Futures, and Other Derivatives, 3rd ed. Prentice-Hall: UpperSaddle River, New Jersey.Kessler, M. (1997), “Estimation of an ergodic diffusion from discrete observations,” ScandinavianJournal of Statistics, 24, 1–19.Kou, S. (2000), “A jump diffusion model for option pricing with three properties: Leptokurticfeature, volatility smile, and analytic tractability,” working paper, Columbia University.Lo, A. W. (1988), “Maximum likelihood estimation of generalized Ito’s processes with discretelysampled data,” Econometric Theory,4,231–247.Merton, R. C. (1976), “Option pricing when the underlying stock returns are discontinuous,”Journal of Financial Economics,5,125–144.