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An empirical study on asymmetric jump diffusion for option and annuity pricing
In this paper, we present a method to estimate the market parameters modelled by an asymmetric jump diffusion process. The method proposed is based on Kou’s jump diffusion model while the market parameters refer to the market drift, the market volatility, the jump intensity on market price, and the...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2019
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6504165/ https://www.ncbi.nlm.nih.gov/pubmed/31063498 http://dx.doi.org/10.1371/journal.pone.0216529 |