Maekawa, Koichi; Lee, Sangyeol; Morimoto, Takayuki; … - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 223-236
In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than the classical Black–Scholes (BS) model. In order to check the existence of jumps, we implement the bipower test by Barndorff-Nielsen and Shephard [O.E. Barndorff-Nielsen, N....
