Comparison of jump-diffusion parameters using passage times estimation

DOI10.1155/2014/975418zbMath1463.62249OpenAlexW2048047928WikidataQ59054552 ScholiaQ59054552MaRDI QIDQ2336891

Salim Meddahi, K. Djeddour, Kais Khaldi

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/975418

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Related Items (1)

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

Cites Work

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• The Inverse Gaussian Distribution as a Lifetime Model
• First passage times of a jump diffusion process
• A Test for Normality of Observations and Regression Residuals
• Option pricing when underlying stock returns are discontinuous

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