Maximum likelihood estimation of the double exponential jump-diffusion process

DOI10.1007/s10436-006-0062-yzbMath1233.91330OpenAlexW2022215099MaRDI QIDQ665791

Yong Zeng, Cyrus A. Ramezani

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0062-y

zbMATH Keywords

MLEasset price processesdouble exponential jump-diffusionleptokurtic distributionsPareto-beta jump diffusionvolatility smile-smirk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Uses Software

• FinTS

Cites Work

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