Abstract

A model of a series of price increments with jumps is constructed based on a linear stochastic differential equation with a Poisson component. Some estimates of unknown parameters of the model and SDE are obtained by using the method of moments. A statistical simulation algorithm for solving an SDE with a Poisson component in general form is proposed. Results of numerical experiments are given.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call