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Research ArticleOpen accessIn the author namesStatistical Inference on a Black-Scholes Model with Jumps. Application in HydrologyJ. Cesars, S.P. Nuiro, J. VaillantWe 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 … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 24 Jul 2019 · 7,502 accessesView PDF Cite

1 article for “J. Cesars”