Continuous Mixed-Laplace Jump Diffusion Models for Stocks and Commodities
This paper proposes two jump diffusion models with and without mean reversion,for stocks or commodities, capable to fit highly leptokurtic processes. The jump component is acontinuous mixture of independent point processes with Laplace jumps. As in financial markets,jumps are caused by the arrival o...
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| Format: | Article |
| Language: | English |
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AIMS Press
2017-07-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | http://www.aimspress.com/QFE/article/1521/fulltext.html |