A note on uniqueness of parameter identification in a jump diffusion model
In this note, we consider an inverse problem in a jump diffusion model. Using characteristic functions we prove the injectivity of the forward operator mapping the five parameters determining the model to the density function of the return distribution.
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Others |
| Language: | English |
| Published: |
Universitätsbibliothek Chemnitz
2005
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501325 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501325 http://www.qucosa.de/fileadmin/data/qucosa/documents/5054/data/t_04_st_du_ho.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/5054/20050132.txt |