Statistical Inference on a Black-Scholes Model with Jumps. Application in Hydrology
J. Cesars1, S.P. Nuiro1 & J. Vaillant1 Show affiliations
- Université des Antilles, Guadeloupe
Journal of Mathematics and Statistics, Volume 15, Issue 1, pp. 196–200 · doi.org/10.3844/jmssp.2019.196.200
Abstract
We consider a Stochastic Differential Equation (SDE) driven by a Wiener process and a Poisson measure. This latter measure is associated with a sequence of identically distributed jump amplitudes. Properties of the SDE solution are presented with respect to the associated Wiener and Poisson processes. An algorithm is provided allowing exact numerical simulations of such SDE and implementable within R environment. Statistical inference tools are presented and applied to hydrology data.
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Cesars, J., Nuiro, S. & Vaillant, J. (2019). Statistical Inference on a Black-Scholes Model with Jumps. Application in Hydrology. Journal of Mathematics and Statistics, 15(1), 196–200. https://doi.org/10.3844/jmssp.2019.196.200
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