This article is cited in 2 papers

Parameters estimates of a price series model as solution to linear SDE with a Poisson component

T. A. Averina, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: The model of a series of price increments with jumps is constructed based on a linear stochastic differential equation with a Poisson component. The estimates of unknown parameters of the model and SDE are obtained with the help of the method of moments. The algorithm for statistical simulation of the solution to SDE with a Poisson component in a general form is proposed. Some results of the numerical experiments are given.

Key words: stochastic differential equations (SDE), Poisson component, price series, estimates of parameters.

UDC: 519.676

Received: 29.12.2007

 English version: Numerical Analysis and Applications, 2009, 2:2, 99–105

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