Bayesian Inference for the Jump-Diffusion Model withMJumps

DOI10.1080/03610926.2012.755202zbMath1302.62061OpenAlexW2009429542MaRDI QIDQ2931585

MacIej Kostrzewski

Publication date: 26 November 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.755202

zbMATH Keywords

latent variablesMCMC methodsBayesian inferencejump-diffusion processesmixture of normal distributionsMerton modelBernoulli jump-diffusion model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Stochastic models in economics (91B70)

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Numerical pricing of exchange option with stock liquidity under Bayesian statistical method

Cites Work

• The Pricing of Options and Corporate Liabilities
• Jump-diffusion models with constant parameters for financial log-return processes
• Finite mixture and Markov switching models.
• Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters
• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• Bayesian Measures of Model Complexity and Fit
• Option pricing when underlying stock returns are discontinuous
• Deviance information criteria for missing data models
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