Two Simple Jump-Diffusion Models With a Simple Estimation
Author | : Marek Kolman |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
ISBN-10 | : OCLC:1375436145 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Book Synopsis Two Simple Jump-Diffusion Models With a Simple Estimation by : Marek Kolman
Download or read book Two Simple Jump-Diffusion Models With a Simple Estimation written by Marek Kolman and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two simple but practical jump diffusion models are presented. It turns out that the stock returns these model generate, lead to return densities that are Gaussian mixture densities which results into a simple estimation using historical returns data. The first model uses up/down jumps of constant jump sizes, the second model uses normally-distributed jumps.