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Selected Works of Richard H. Serlin
Unpublished Paper
Towards Better Estimation of Jump Diffusion Models
Continuous Time Finance Models (2012)
  • Richard H. Serlin, University of Arizona
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Abstract
I discuss in-depth modern techniques for the estimation of Jump Diffusion models with suggestions for improvements. There is a heavy focus on intuition. I also point out examples of the use of improper techniques (biased and inconsistent) in the top tier finance literature.
Disciplines
Publication Date
July, 2012
Citation Information
Richard H. Serlin. "Towards Better Estimation of Jump Diffusion Models" Continuous Time Finance Models (2012)
Available at: http://works.bepress.com/richard_serlin/4/