Maximum likelihood estimation of the double exponential jump-diffusion process (Q665791)
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scientific article; zbMATH DE number 6012380
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| default for all languages | No label defined |
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| English | Maximum likelihood estimation of the double exponential jump-diffusion process |
scientific article; zbMATH DE number 6012380 |
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Maximum likelihood estimation of the double exponential jump-diffusion process (English)
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6 March 2012
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asset price processes
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double exponential jump-diffusion
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Pareto-beta jump diffusion
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leptokurtic distributions
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volatility smile-smirk
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MLE
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0.7830918431282043
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0.7631281018257141
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0.7607361078262329
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