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

DOI10.1063/1.4952549zbMath1461.60068OpenAlexW2491388523MaRDI QIDQ4989286

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

zbMATH Keywords

Merton jump-diffusion model

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Financial modeling under non-Gaussian distributions.
• Comparison of jump-diffusion parameters using passage times estimation
• The Inverse Gaussian Distribution as a Lifetime Model
• First passage times of a jump diffusion process
• Option pricing when underlying stock returns are discontinuous

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