The parameter estimation of asymmetric jump diffusion model for optional pricing

MaRDI QIDQ4574387zbMATH OpenFDO

Authors Ying Liu, Yiming Jiang

Publication date 18 July 2018

zbMATH Keywords

asymmetric jump diffusion modelBayes estimationKumaraswamy distributionvolatility smile

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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