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Calibration of jump diffusion model

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PussInBoots
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Joined: July 19th, 2004, 4:50 am

Calibration of jump diffusion model

April 17th, 2006, 10:18 pm

Could someone explain how to calibrate a jump diffusion model of stock prices to historical stock price data?
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ioNab
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Joined: July 3rd, 2005, 8:58 pm

Calibration of jump diffusion model

April 20th, 2006, 2:57 pm

what s the point from ur model? to price options on stock, default probas..etc?
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fasturtle
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Joined: July 16th, 2004, 6:48 am

Calibration of jump diffusion model

April 25th, 2006, 2:39 pm

Estimate jump-models? Try mixtures.
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asd
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Joined: August 15th, 2002, 9:50 pm

Calibration of jump diffusion model

June 1st, 2006, 4:45 am

May be FEA would work..
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