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Maximum likelihood estimation of the double exponential jump-diffusion process

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  • Cyrus Ramezani

    ()

  • Yong Zeng

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10436-006-0062-y
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    Bibliographic Info

    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 3 (2007)
    Issue (Month): 4 (October)
    Pages: 487-507

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    Handle: RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Asset price processes; Double exponential jump-diffusion; Pareto-beta jump diffusion; Leptokurtic distributions; Volatility smile-smirk; MLE; C32; C52; G12; G13;

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    References

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    1. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
    2. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404.
    3. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA.
    4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    5. Bjørn Eraker & Michael Johannes & Nicholas Polson, 2003. "The Impact of Jumps in Volatility and Returns," Journal of Finance, American Finance Association, vol. 58(3), pages 1269-1300, 06.
    6. David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc.
    7. Mark Broadie & Yusaku Yamamoto, 2003. "Application of the Fast Gauss Transform to Option Pricing," Management Science, INFORMS, vol. 49(8), pages 1071-1088, August.
    8. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
    9. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
    10. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    11. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317.
    12. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
    13. Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-50, May.
    14. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    15. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December.
    16. Kiefer, Nicholas M, 1978. "Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model," Econometrica, Econometric Society, vol. 46(2), pages 427-34, March.
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    Cited by:
    1. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
    2. Maciej Kostrzewski, 2014. "Bayesian DEJD model and detection of asymmetric jumps," Papers 1404.2050, arXiv.org.
    3. Philippe Bertrand & Jean-luc Prigent, 2014. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Working Papers 2014-348, Department of Research, Ipag Business School.
    4. José Figueroa-López, 2012. "Statistical estimation of Lévy-type stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 309-335, May.
    5. Zhang, Li-Hua & Zhang, Wei-Guo & Xu, Wei-Jun & Xiao, Wei-Lin, 2012. "The double exponential jump diffusion model for pricing European options under fuzzy environments," Economic Modelling, Elsevier, vol. 29(3), pages 780-786.

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