{"title":"Statistical Inference on a Black-Scholes Model with Jumps. Application in Hydrology","authors":"J. Césars, S. P. Nuiro, J. Vaillant","doi":"10.3844/JMSSP.2019.196.200","DOIUrl":null,"url":null,"abstract":"We consider a Stochastic Differential Equation (SDE) driven by a Wiener process and a Poisson measure. This latter measure is associated with a sequence of identically distributed jump amplitudes. Properties of the SDE solution are presented with respect to the associated Wiener and Poisson processes. An algorithm is provided allowing exact numerical simulations of such SDE and implementable within R environment. Statistical inference tools are presented and applied to hydrology data.","PeriodicalId":41981,"journal":{"name":"Jordan Journal of Mathematics and Statistics","volume":"7 1","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Jordan Journal of Mathematics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3844/JMSSP.2019.196.200","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 2
Abstract
We consider a Stochastic Differential Equation (SDE) driven by a Wiener process and a Poisson measure. This latter measure is associated with a sequence of identically distributed jump amplitudes. Properties of the SDE solution are presented with respect to the associated Wiener and Poisson processes. An algorithm is provided allowing exact numerical simulations of such SDE and implementable within R environment. Statistical inference tools are presented and applied to hydrology data.
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