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Comparison of jump-diffusion parameters using passage times estimation
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نویسنده
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khaldi k. ,djeddour k. ,meddahi s.
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منبع
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journal of applied mathematics - 2014 - دوره : 2014 - شماره : 0
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چکیده
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The main purposes of this paper are two contributions: (1) it presents a new method,which is the first passage time generalized for all passage times (pt method),in order to estimate the parameters of stochastic jump-diffusion process. (2) it compares in a time series model,share price of gold,the empirical results of the estimation and forecasts obtained with the pt method and those obtained by the moments method applied to the mjd model. © 2014 k. khaldi et al.
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آدرس
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department of mathematics,faculty of sciences,boumerdes university, Algeria, department of probability,faculty of mathematics,university of sciences and technology, Algeria, department of mathematics,faculty of sciences,boumerdes university, Algeria
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Authors
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