|Table of Contents|

Parameter Estimation of the Option Pricing Formula ona Class of Jump-Diffusion Model(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2014年03期
Page:
36-
Research Field:
数学
Publishing date:

Info

Title:
Parameter Estimation of the Option Pricing Formula ona Class of Jump-Diffusion Model
Author(s):
Liu Ruichen1; Liu Guoxiang2; Ye Wei2; 3
(1.Business School of Nanjing Normal University,Nanjing 210023,China)(2.Financial and Statistical Institute,Nanjing Normal University,Nanjing 210023,China)(3.Wuxi Third Senior High School,Wuxi 214026,China)
Keywords:
option pricing; jump-diffusion process; parameter estimation
PACS:
O211.9
DOI:
-
Abstract:
In this thesis,we study the option formula of a jump diffusion process model whose parameters are constants.Based on the history date of underlying asset prices,we propose a procedure to calculate more conveniently the maximum likelihood estimators of the parameters.

References:

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Last Update: 2014-09-30