کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
472349 | 698706 | 2008 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Jump-diffusion models with constant parameters for financial log-return processes
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Jump-diffusion models with constant parameters for financial log-return processes Jump-diffusion models with constant parameters for financial log-return processes](/preview/png/472349.png)
چکیده انگلیسی
We present five alternative approaches to modelling assets using jump-diffusion processes. Three of them are known in the literature and they give analytical solutions for option pricing problems. We present two further models, which are better motivated by the market and we compare all five models with each other and with the Black–Scholes model. Good criteria of goodness of fit of the model to the data are statistical tests, whose values are also helpful in comparing the models. In this paper, we use Kolmogorov, Anderson–Darling and Cramer–von Mises statistics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 56, Issue 8, October 2008, Pages 2120–2127
Journal: Computers & Mathematics with Applications - Volume 56, Issue 8, October 2008, Pages 2120–2127
نویسندگان
Daniel Synowiec,