Comparison of Jump-Diffusion Parameters Using Passage Times Estimation
Joint Authors
Djeddour, K.
Meddahi, S.
Khaldi, K.
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-21
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
The main purposes of this paper are two contributions: (1) it presents a new method, which is the first passage time generalized for all passage times (PT method), in order to estimate the parameters of stochastic jump-diffusion process.
(2) It compares in a time series model, share price of gold, the empirical results of the estimation and forecasts obtained with the PT method and those obtained by the moments method applied to the MJD model.
American Psychological Association (APA)
Khaldi, K.& Djeddour, K.& Meddahi, S.. 2014. Comparison of Jump-Diffusion Parameters Using Passage Times Estimation. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-5.
https://search.emarefa.net/detail/BIM-512845
Modern Language Association (MLA)
Khaldi, K.…[et al.]. Comparison of Jump-Diffusion Parameters Using Passage Times Estimation. Journal of Applied Mathematics No. 2014 (2014), pp.1-5.
https://search.emarefa.net/detail/BIM-512845
American Medical Association (AMA)
Khaldi, K.& Djeddour, K.& Meddahi, S.. Comparison of Jump-Diffusion Parameters Using Passage Times Estimation. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-5.
https://search.emarefa.net/detail/BIM-512845
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512845
