Parameters estimation using the first passage times method in a jump-diffusion model

DOI10.1063/1.4952549zbMATH Open1461.60068OpenAlexW2491388523MaRDI QIDQ4989286FDOQ4989286

Salim Meddahi, Kais Khaldi

Publication date: 21 May 2021

Published in: AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.4952549

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zbMATH Keywords

Merton jump-diffusion model

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74)

Cites Work

• The pricing of options and corporate liabilities
• A Jump-Diffusion Model for Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• Financial modeling under non-Gaussian distributions.
• First passage times of a jump diffusion process
• Maximum likelihood estimation of the double exponential jump-diffusion process
• The Inverse Gaussian Distribution as a Lifetime Model
• Comparison of jump-diffusion parameters using passage times estimation

Cited In (6)

• 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
• Comparison of jump-diffusion parameters using passage times estimation
• An improved algorithm for the estimation of the mean first passage time of ordinary stochastic differential equations
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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