Maximum likelihood estimation of the double exponential jump-diffusion process

Annals of Finance

Volumn 3, Issue 4, 2007, Pages 487-507

  Ramezani, Cyrus A ^a   Zeng, Yong ^b  

^a CALIFORNIA POLYTECHNIC STATE UNIVERSITY   (United States)

^b UNIVERSITY OF MISSOURI KANSAS CITY   (United States)

Author keywords

Asset price processes; Double exponential jump diffusion; Leptokurtic distributions; MLE; Pareto beta jump diffusion; Volatility smile smirk

Indexed keywords

EID: 34548246621     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-006-0062-y     Document Type: Article

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