Parameters estimation using the first passage times method in a jump-diffusion model

Journal Article · Thu Jun 02 00:00:00 EDT 2016 · AIP Conference Proceedings

DOI:https://doi.org/10.1063/1.4952549· OSTI ID:22609043

Khaldi, K., E-mail: [e-mail] ^[1]; LIMOSE Laboratory, Boumerdes University, 35000 ^[2]; Meddahi, S., E-mail: [e-mail] ^[1]

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1. Department of Mathematics, Faculty of Sciences, Boumerdes University, 35000 (Algeria)
2. (Algeria)

The main purposes of this paper are two contributions: (1) it presents a new method, which is the first passage time (FPT method) generalized for all passage times (GPT 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 GPT method and those obtained by the moments method and the FPT method applied to the Merton Jump-Diffusion (MJD) model.

• OSTI ID: 22609043
• Journal Information: AIP Conference Proceedings, Vol. 1739, Issue 1; Conference: ICMSS2016: 2. international conference on mathematical sciences and statistics, Kuala Lumpur (Malaysia), 26-28 Jan 2016; Other Information: (c) 2016 Author(s); Country of input: International Atomic Energy Agency (IAEA); ISSN 0094-243X
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
97 MATHEMATICAL METHODS AND COMPUTING
COMPARATIVE EVALUATIONS
DIFFUSION
GOLD
MOMENTS METHOD
STOCHASTIC PROCESSES