Applied Mathematics

Vol.8 No.7(2017), Paper ID 77969, 14 pages

DOI:10.4236/am.2017.87077

 

Estimation of Stochastic Volatility with a Compensated Poisson Jump Using Quadratic Variation

 

Perpetual Saah Andam, Joseph Ackora-Prah, Sure Mataramvura

 

Department of Mathematics, Kwame Nkrumah University of Science and Technology (KNUST), Kumasi, Ghana
Department of Mathematics, Kwame Nkrumah University of Science and Technology (KNUST), Kumasi, Ghana
Department of Actuarial Science, University of Cape Town, Cape Town, South Africa

 

Copyright © 2017 Perpetual Saah Andam, Joseph Ackora-Prah, Sure Mataramvura et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Andam, P. , Ackora-Prah, J. and Mataramvura, S. (2017) Estimation of Stochastic Volatility with a Compensated Poisson Jump Using Quadratic Variation. Applied Mathematics, 8, 987-1000. doi: 10.4236/am.2017.87077.

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