Volatility Estimation via Jump Diffusion Model

DOI

Bibliographic Information

Other Title
  • ジャンプ拡散過程を用いたボラティリティ推定

Abstract

<p>We investigate daily share prices of the Nikkei 225 stock index to identify jump times of the stock index using a jump-diffusion model which consists of the Black-Scholes model with a stochastic volatility and a compound Poisson process. Since the data of daily share prices of the Nikkei 225 stock index are observed at discrete times, it is difficult to find real jump-times from the data. In this paper we consider how to separate jump-times from the observed times and show that the volatility of the stock index is estimated by the historical volatility from the observation of some daily share prices.</p>

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Keywords

Details 詳細情報について

  • CRID
    1390571106620151168
  • NII Article ID
    130008101041
  • DOI
    10.11345/japannctam.65.0_83
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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