2004 43rd IEEE Conference on Decision and Controlâ€¦

2004

Previously, we have shown that the proper method for estimating parameters from discrete, binned stock log returns is the multinomial maximum likelihood estimation, and its performance is superior toâ€¦ (More)

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market in oneâ€¦ (More)

A reduced European call option pricing formula by risk-neutral valuation is given. It is shown that the European call and put options for jump-diffusion models are worth more than that for theâ€¦ (More)

where a < 0 < b and 0 < p < 1 represents the probability of downword jumps and q = 1 âˆ’ p is the probability of upward jumps. The set indicator function is I{S} for set S. The mean of Q is Î¼j = 1 2â€¦ (More)

Reduced European call and put option formulas by risk-neutr al valuation are given. It is shown that the European call and put options for log-uniformjumpdiffusion models are worth more than that forâ€¦ (More)