IDEAS home Printed from https://ideas.repec.org/a/wly/jnljam/v2014y2014i1n975418.html

Comparison of Jump‐Diffusion Parameters Using Passage Times Estimation

Author

Listed:
  • K. Khaldi
  • K. Djeddour
  • S. Meddahi

Abstract

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.

Suggested Citation

  • K. Khaldi & K. Djeddour & S. Meddahi, 2014. "Comparison of Jump‐Diffusion Parameters Using Passage Times Estimation," Journal of Applied Mathematics, John Wiley & Sons, vol. 2014(1).
    • Handle: RePEc:wly:jnljam:v:2014:y:2014:i:1:n:975418
    DOI: 10.1155/2014/975418
    as

    Download full text from publisher

    File URL: https://doi.org/10.1155/2014/975418
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2014/975418?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317-317.
    2. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71(5), pages 421-421.
    3. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    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. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    6. Beckers, Stan, 1981. "A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(1), pages 127-140, March.
    7. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    8. Ball, Clifford A & Torous, Walter N, 1985. "On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-173, March.
    9. Eric Jondeau & Ser-Huang Poon & Michael Rockinger, 2007. "Financial Modeling Under Non-Gaussian Distributions," Springer Finance, Springer, number 978-1-84628-696-4, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mr. Noureddine Krichene, 2006. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 2006/299, International Monetary Fund.
    2. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
    3. Askari, Hossein & Krichene, Noureddine, 2008. "Oil price dynamics (2002-2006)," Energy Economics, Elsevier, vol. 30(5), pages 2134-2153, September.
    4. Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
    5. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Leibniz Centre for European Economic Research.
    6. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    7. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    8. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
    9. Mohamed Maidoumi & Boubker Daafi & Mehdi Zahid, 2021. "An Analysis of Asymptotic Properties and Error Control under the Exponential Jump‐Diffusion Model for American Option Pricing," Journal of Applied Mathematics, John Wiley & Sons, vol. 2021(1).
    10. Hilliard, Jimmy E. & Hilliard, Jitka & Ngo, Julie T.D., 2024. "Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions," Journal of Commodity Markets, Elsevier, vol. 35(C).
    11. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, September.
    12. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
    13. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    14. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
    15. Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen, 2016. "Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 459-482, April.
    16. Melanie Cao & Batur Celik, 2021. "Valuation of bitcoin options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1007-1026, July.
    17. Lin, Shih-Kuei & Peng, Jin-Lung & Chao, Wei-Hsiung & Wu, An-Chi, 2016. "The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 217-235.
    18. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
    19. repec:dgr:rugsom:98a40 is not listed on IDEAS
    20. Hu, May & Park, Jason, 2019. "Valuation of collateralized debt obligations: An equilibrium model," Economic Modelling, Elsevier, vol. 82(C), pages 119-135.
    21. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jnljam:v:2014:y:2014:i:1:n:975418. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://onlinelibrary.wiley.com/journal/4185 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.