Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo (MCMC) simulation

Kianoush Fathi Vajargah

doi:10.14419/ijasp.v3i1.4066

Article Details

Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo (MCMC) simulation

Authors:

Kianoush Fathi Vajargah

Publisher:

Science Publishing Corporation

Journal:

International Journal of Advanced Statistics and Probability Vol.3 Issue 1, pp.35-42

Document Type:

Article

Publication Date:

1/2015

Document Language:

English

Document ID (Org No.):

2001386989

pISSN:

2307-9045

DOI:

10.14419/ijasp.v3i1.4066

Keywords:

Levy Process

Abstract:

 An available method of modeling and predicting the economic time series is the use of stochastic differential equations, which are often determined as jump-diffusion stochastic differential equations in financial markets and underlier economic dynamics. Besides the diffusion term that is a geometric Brownian model with Wiener random process, these equations contain a jump term that follows Poisson process and depends on the type of market. This study presented two different models based on a certain class of jump-diffusion stochastic differential equations with random fluctuations: Black- Scholes model and Merton model (1976), including jump-diffusion (JD) model, which were compared, and their parameters and hidden variables were evaluated using Markov chain Monte Carlo (MCMC) method.

Article Details

Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo (MCMC) simulation

Authors: Kianoush Fathi Vajargah

Publisher: Science Publishing Corporation

Journal: International Journal of Advanced Statistics and Probability Vol.3 Issue 1, pp.35-42

Document Type: Article

Publication Date: 1/2015

Document Language: English

Document ID (Org No.): 2001386989

pISSN: 2307-9045

DOI: 10.14419/ijasp.v3i1.4066

Levy Process

Issues

Authors:

Kianoush Fathi Vajargah

Publisher:

Science Publishing Corporation

Journal:

International Journal of Advanced Statistics and Probability Vol.3 Issue 1, pp.35-42

Document Type:

Article

Publication Date:

1/2015

Document Language:

English

Document ID (Org No.):

2001386989

pISSN:

2307-9045

DOI:

10.14419/ijasp.v3i1.4066