Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations
We consider a stochastic differential equation (SDE) governed by a fractional Brownian motion <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mo>(</mo><msubsup><mi>B</mi><...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/22/4190 |