文章基本信息

标题：Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo (MCMC) simulation
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作者：Kianoush Fathi Vajargah
期刊名称：International Journal of Advanced Statistics and Probability
电子版ISSN：2307-9045
出版年度：2015
卷号：3
期号：1
页码：35-42
DOI：10.14419/ijasp.v3i1.4066
出版社：Journal of Advanced Computer Science & Technology
摘要：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.
关键词：Levy Process;Markov Chain Monte Carlo;Black- Scholes Model;Merton Model;Stochastic Differential Equations.