Parameters estimation using the first passage times method in a jump-diffusion model
From MaRDI portal
Recommendations
- Comparison of jump-diffusion parameters using passage times estimation
- scientific article; zbMATH DE number 2069491
- scientific article; zbMATH DE number 2133113
- Parameter estimation of the option pricing formula on a class of jump-diffusion models
- Efficient computation of first passage times in Kou's jump-diffusion model
Cites work
- A jump-diffusion model for option pricing
- Comparison of jump-diffusion parameters using passage times estimation
- Financial modeling under non-Gaussian distributions.
- First passage times of a jump diffusion process
- scientific article; zbMATH DE number 3635287 (Why is no real title available?)
- Maximum likelihood estimation of the double exponential jump-diffusion process
- Option pricing when underlying stock returns are discontinuous
- The Inverse Gaussian Distribution as a Lifetime Model
- The pricing of options and corporate liabilities
Cited in
(6)- An improved algorithm for the estimation of the mean first passage time of ordinary stochastic differential equations
- Comparison of jump-diffusion parameters using passage times estimation
- Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
- A multi-parameter regularization approach for estimating parameters in jump diffusion processes
- FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
This page was built for publication: Parameters estimation using the first passage times method in a jump-diffusion model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4989286)
