Jump-Diffusion Stock Return Models in Finance : Stochastic Process Density with Uniform-Jump Amplitude

@inproceedings{Hanson2002JumpDiffusionSR,
  title={Jump-Diffusion Stock Return Models in Finance : Stochastic Process Density with Uniform-Jump Amplitude},
  author={Floyd B. Hanson},
  year={2002}
}
The stochastic analysis is presented for the parameter estimation problem for fitting a theoretical jump-diffusion model to the log-returns from closing data of the Standard and Poor’s 500 (S&P500) stock index during the prior decade 1992-2001. The jump-diffusion model combines a the usual geometric Brownian motion for the diffusion and a space-time Poisson process for the jumps such that the jump amplitudes are uniformly distributed. The uniform jump distribution accounts for the rare large… CONTINUE READING
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