Jump-diffusion models with constant parameters for financial log-return processes
نویسندگان
چکیده
منابع مشابه
Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes (corrected)
A jump-diffusion log-return process with log-normal jump amplitudes is presented. The probability density and other properties of the theoretical model are rigorously derived. This theoretical density is fit to empirical log-returns of Standard & Poor’s 500 stock index data. The model repairs some failures found from the log-normal distribution of geometric Brownian motion to model features of ...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2008
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2008.02.051