Open AccessAn improvement of jump diffusion model for Japan Nikkei 225 indexes and its application to estimating the stochastic volatility
Publication year - 2019
Publication title -
el sawah, s. (ed.) modsim2019, 23rd international congress on modelling and simulation.
Language(s) - English
Resource type - Conference proceedings
DOI - 10.36334/modsim.2019.e1.kanagawa
Subject(s) - jump diffusion , jump , stochastic volatility , volatility (finance) , diffusion , computer science , econometrics , economics , physics , thermodynamics , quantum mechanics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom