MSM Estimators of Eeuropean Options on Assets With Jumps

This paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and Billion [7] can be extended to the case where the underlying asset prices' follow a certain general class of jump-diffusion processes (known as Levy processes), under some regularity conditions, with no losses on their asymptotic properties, still allowing for the joint test of the model.N/