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Towards Better Estimation of Jump Diffusion Models

Richard H. Serlin, University Of Arizona

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.

Suggested Citation

Richard H. Serlin. 2007. "Towards Better Estimation of Jump Diffusion Models" The Selected Works of Richard H. Serlin
Available at: http://works.bepress.com/richard_serlin/4