英文标题：
《Gibbs sampler with jump diffusion model: application in European call
option and annuity》
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作者：
Kein Joe Lau, Yong Kheng Goh and An-Chow Lai
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最新提交年份：
2017
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英文摘要：
In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market parameters are the drift, the volatility, the jump intensity and its rate of occurrence. Demonstration on how to use these parameters to estimate the fair price of European call option and annuity will be shown, for the situation where the market is modeled by jump diffusion process with different intensity and occurrence. The results is compared to conventional options to observe the impact of jump effects.
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中文摘要：
本文提出了一种基于跳扩散过程的市场参数估计方法。该方法基于吉布斯采样器，市场参数为漂移、波动率、跳跃强度及其发生率。将演示如何使用这些参数来估计欧洲看涨期权和年金的公平价格，在这种情况下，市场被建模为具有不同强度和发生率的跳跃扩散过程。将结果与常规选项进行比较，以观察跳跃效应的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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