Maximum likelihood estimation of the double exponential jump-diffusion process
From MaRDI portal
Recommendations
- Bayesian estimation of the stochastic volatility model with double exponential jumps
- scientific article; zbMATH DE number 2133113
- A jump-diffusion model for option pricing
- Bayesian inference for the jump-diffusion model with \(M\) jumps
- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
Cites work
- scientific article; zbMATH DE number 3573060 (Why is no real title available?)
- scientific article; zbMATH DE number 2163514 (Why is no real title available?)
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 274399 (Why is no real title available?)
- A jump-diffusion model for option pricing
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Alternative models for stock price dynamics.
- Application of the fast Gauss transform to option pricing
- Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
- Empirical option pricing: A retrospection
- Estimating the dimension of a model
- Financial Modelling with Jump Processes
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Option pricing when underlying stock returns are discontinuous
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(26)- Statistical estimation of Lévy-type stochastic volatility models
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Fair valuation of life insurance contracts under a two-sided jump diffusion model
- Barrier style contracts under Lévy processes once again
- Parametric and nonparametric models and methods in financial econometrics
- Efficient and flexible model-based clustering of jumps in diffusion processes
- scientific article; zbMATH DE number 2133113 (Why is no real title available?)
- Parameters estimation using the first passage times method in a jump-diffusion model
- Estimation of a noisy subordinated Brownian motion via two-scales power variations
- Statistical inference for the intensity in a partially observed jump diffusion
- Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- Bayesian inference for the jump-diffusion model with \(M\) jumps
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Comparison of jump-diffusion parameters using passage times estimation
- The dependence of assets and default threshold with thinning-dependence structure
- Empirical likelihood inference for the second-order jump-diffusion model
- Double-smoothed drift estimation of jump-diffusion model
- Dividend derivatives
- Dividend derivatives
- Bayesian estimation of the stochastic volatility model with double exponential jumps
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
This page was built for publication: Maximum likelihood estimation of the double exponential jump-diffusion process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q665791)
