Ill-posedness of parameter estimation in jump diffusion processes
In this paper, we consider as an inverse problem the simultaneous estimation of the five parameters of a jump diffusion process from return observations of a price trajectory. We show that there occur some ill-posedness phenomena in the parameter estimation problem, because the forward operator fail...
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Language: | English |
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Technische Universität Chemnitz
2004
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Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401199 https://monarch.qucosa.de/id/qucosa%3A18198 https://monarch.qucosa.de/api/qucosa%3A18198/attachment/ATT-0/ https://monarch.qucosa.de/api/qucosa%3A18198/attachment/ATT-1/ |