Statistical Inference on a Black-Scholes Model with Jumps. Application in Hydrology

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.
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-02306481
Contributor : Jean Vaillant <>
Submitted on : Saturday, October 5, 2019 - 10:42:50 PM
Last modification on : Wednesday, October 9, 2019 - 1:29:12 AM

Links full text

Identifiers

Collections

Citation

Jasmine Cesars, Sylvère Nuiro, Jean Vaillant. Statistical Inference on a Black-Scholes Model with Jumps. Application in Hydrology. Journal of Mathematics and Statistics, Science Publications, 2019, ⟨10.3844/jmssp.2019.196.200⟩. ⟨hal-02306481⟩

Share

Metrics

Record views

15