Jump-diffusion models with constant parameters for financial log-return processes

DOI10.1016/j.camwa.2008.02.051zbMath1165.91413OpenAlexW1979494886MaRDI QIDQ2389758

Daniel Synowiec

Publication date: 18 July 2009

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2008.02.051

zbMATH Keywords

jump-diffusion processesgoodness of fitfat tailslog-returnsmultinomial maximum likelihood estimationrandom jump amplitude

Mathematics Subject Classification ID

Related Items (6)

Optimal consumption problem in the Vasicek model ⋮ Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models ⋮ Bayesian Inference for the Jump-Diffusion Model withMJumps ⋮ Connectivity, information jumps, and market stability: an agent-based approach ⋮ Risk-based premium evaluation with jump diffusion process for PBGC ⋮ Effects of intervaling on high-frequency realized higher-order moments

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Applied stochastic control of jump diffusions.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
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