Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
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Publication:5899409
DOI10.1080/034612303100170091zbMath1114.62081MaRDI QIDQ5899409
Publication date: 29 May 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/034612303100170091
estimation; Poisson process; stock price model; quadratic variation process; Brownian process; Brownian stochastic integral
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
60H05: Stochastic integrals
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