MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

DOI10.1111/j.1467-9965.2010.00439.xzbMath1229.91367OpenAlexW1909638435MaRDI QIDQ3008483

Martin T. Wells, Hai-Tao Li, Cindy L. Yu

Publication date: 16 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/136259

zbMATH Keywords

estimationLévy processesoption pricingMarkov chain Monte Carlovariance gamma modelaffine jump-diffusions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)

Related Items (14)

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Uses Software

• nlmdl

Cites Work

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• Option pricing when underlying stock returns are discontinuous

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