A NOTE ON ESTIMATING THE PARAMETERS OF THE DIFFUSION-JUMP MODEL OF STOCK RETURNS

被引：45

作者：

BECKERS, S ^{[1
]}

机构：

[1] EUROPEAN INST ADV STUDIES MANAGEMENT,BRUSSELS,BELGIUM

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1981年 / 16卷 / 01期

关键词：

D O I：

10.2307/2330670

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：127 / 140

页数：14

相关论文

共 11 条

[1] PRICING OF OPTIONS AND CORPORATE LIABILITIES
BLACK, F
SCHOLES, M
[J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654
[2] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES
CLARK, PK
[J]. ECONOMETRICA, 1973, 41 (01) : 135 - 155
[3] FEHR D, UNPUBLISHED
[4] KENDALL MG, 1963, ADV THEORY STATISTIC
[5] THE VARIATION OF CERTAIN SPECULATIVE PRICES
MANDELBROT, B
[J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 394 - 419
[6] IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN UNDERLYING STOCK-PRICE RETURNS
MERTON, RC
[J]. JOURNAL OF FINANCE, 1976, 31 (02) : 333 - 350
[7] OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS
MERTON, RC
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 125 - 144
[8] AUTOREGRESSIVE JUMP PROCESS FOR COMMON STOCK RETURNS
OLDFIELD, GS
ROGALSKI, RJ
JARROW, RA
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (03) : 389 - 418
[9] DISTRIBUTION OF SHARE PRICE CHANGES
PRAETZ, PD
[J]. JOURNAL OF BUSINESS, 1972, 45 (01) : 49 - 55
[10] PRESS JS, 1967, J BUS, V40, P317