Comparison of Jump-Diffusion Parameters Using Passage Times Estimation

Abstract

The main purposes of this paper are two contributions: (1) it presents a new method, which is the first passage time generalized for all passage times (PT method), in order to estimate the parameters of stochastic jump-diffusion process. (2) It compares in a time series model, share price of gold, the empirical results of the estimation and forecasts obtained with the PT method and those obtained by the moments method applied to the MJD model.