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Jump-Diffusion Stock-Return Model With Weighted Fitting of Time-Dependent Parameters by G.D.M.Madushantha is a document available to read on EtoBox.
This paper treats jump-diffusion processes in continuous time, with emphasis on jump-amplitude distributions. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies. The empirical data is taken from a decade of Standard and Poor 500 index of stock closings.
- Author
- G.D.M.Madushantha
- Language
- EN