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This article examines the class of continuous-time stochastic processes commonly known as af fine diffusions (AD's) and af fine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical properties as well as develop an efficient estimation...
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This paper conducts a thorough and detailed investigation on the implications of stochastic volatility and random jump on option prices. Both stochastic volatility and jump-diffusion processes admit asymmetric and fat-tailed distribution of asset returns and thus have similar impact on option...
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In this paper, we consider alternative approaches to the estimation of Itˆo diffusion processes from discretely sampled observations. Based on Monte Carlo simulation, we investigate the finite sample properties of various estimators and in particular compare the performance of the nonparametric...
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