Mean-reversion Jump-diffusion
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چکیده
From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999). Clewlow and Strickland (2000) and Clewlow et al. (2000b) present an intuitive step-wise method for the parameters identification. An alternative indirect method is presented by Jiang (1998).
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