Maximum likelihood estimation of the double exponential jump-diffusion process
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 3 (2007)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/link.asp?id=112370
Asset price processes; Double exponential jump-diffusion; Pareto-beta jump diffusion; Leptokurtic distributions; Volatility smile-smirk; MLE; C32; C52; G12; G13;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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