Tuesday, October 10, 2017

11 October 2017: How to fit a jump diffusion model to return prices?

Francine Diener
Laboratoire Jean Dieudonné, Nice, France

In 1976, R. C. Merton extended the classical (continuous) Black-Scholes model for return prices to models known as jump diffusion models for which the return prices have large jumps intersperced with small continuous movements. Useful, for example, for commodity prices, especially when they are not very liquid, their main disad vantage is that it is not easy to calibrate the parameters of the model to existing data. Indeed introduction of jumps adds three extra parameters, λ, m and s to the original Black-Scholes ones, μ and σ.

In this talk, we introduce a new method to estimate the three jump-parameters and show how to do on an example of rubber return prices on the Thai market.

Date: October 11, 2017
Time: 03:30 P.M.

Conference Hall,
Indian Statistical Institute Delhi Centre,
7, S. J. S. Sansanwal Marg,
New Delhi-110016 (INDIA)


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