Telling From Discrete Data Whether The Underlying Continuous - Time Model is A Diffusion  

Oleh:

Sahalia, Yacine Ait

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2075-2112.
Topik: diffusion; studies; models; diffusion index; econometrics; options markets
Fulltext: p 2075.pdf (332.26KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Can discretely sampled financial data help decide which continuous - time models are sensible ? Diffusion processes are characterized by the continuity of their sample paths. This cannot be verified from the discrete sample path : Even if the underlying path were continuous, data sampled at discrete times will always appear as a succession of jumps. Instead, this paper relies on the transition density to determine whether the discontinuities observed are the result of the discreteness of sampling, or rather evidence of genuine jump dynamics for the underlying continuous - time process. I then focuses on the implications of this approach for option pricing models.

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