Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo ( MCMC ) simulation

Abstract

An available method of modeling and predicting the economic time series is the use of stochastic differential equations, which are often determined as jump-diffusion stochastic differential equations in financial markets and underlier economic dynamics. Besides the diffusion term that is a geometric Brownian model with Wiener random process, these equations… (More)

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