the collector and jump difussion model
Posted: April 29th, 2002, 5:26 pm
Since last weak i am a happy owner of haug´s book. For the first time Ive paid some attention to jump diffusion model...but our friend doesnt include the formula for lambda and the quantity of jumps per year. How do i calculate the percentage of volatility attribuible to the jumps? the jumps per year...just an estimate from a look at the graph?As always...thanks a lot!m.h.