Bayesian DEJD model and detection of asymmetry in jump sizes
Maciej Kostrzewski
| Year of publication: |
2015
|
|---|---|
| Authors: | Kostrzewski, Maciej |
| Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 7.2015, 1, p. 43-70
|
| Subject: | double exponential jump diffusion model | Kou model | Bernoulli jump-diffusion model | MCMC methods | latent variables | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011305742