{"title":"On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model","authors":"Hiroki Masuda, 増田 弘毅","doi":"10.1142/9789814304078_0007","DOIUrl":null,"url":null,"abstract":"Estimation of an asset price process under the physical measure can be regarded as the first step of the calibration problem, hence is of practical importance. In this article, supposing that a log-price process is expressed by a possibly skewed stable driven model and that a high-frequency dataset over a fixed period is available, we provide practical procedures of estimating the dominating parameters. Especially, the scale parameter may be time-varying and possibly random as long as it is independent of the driving skewed","PeriodicalId":313471,"journal":{"name":"MI Preprint Series","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2009-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"17","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"MI Preprint Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/9789814304078_0007","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 17
Abstract
Estimation of an asset price process under the physical measure can be regarded as the first step of the calibration problem, hence is of practical importance. In this article, supposing that a log-price process is expressed by a possibly skewed stable driven model and that a high-frequency dataset over a fixed period is available, we provide practical procedures of estimating the dominating parameters. Especially, the scale parameter may be time-varying and possibly random as long as it is independent of the driving skewed