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In this paper, we are presenting a method for estimation of market parametersmodeled by jump diffusion process. The method proposed is based on Gibbssampler, while the market parameters are the drift, the volatility, the jumpintensity and its rate of occurrence. Demonstration on how to use theseparameters to estimate the fair price of European call option and annuity willbe shown, for the situation where the market is modeled by jump diffusionprocess with different intensity and occurrence. The results is compared toconventional options to observe the impact of jump effects.

Gibbs sampler with jump diffusion model: application in European call option and annuity