Jump-Diffusions Stochastic Differential Equations: Simulation and Financial Applications

The modelling of many real life phenomena for which either the parameter estimation isdifficult, or which are subject to random noisy perturbation, is often carried out by usingstochastic differential equations (SDEs). In this paper, we introduce jump-diffusion stochas-tic differential equations and express it’s applications. Also simulate Merton jump-diffusionmodel via Matlab software.

کلیدواژه ها:

Jump-diffusion stochastic differential equations ، Simulation ، Merton jump-diffusion mode