Analysis of jump-diffusion models for asset prices without specific assumptions on the dynamics.
What is it about?
Jump-diffusion models are important tools for modeling asset prices. We provide estimators that allow to understand the price functional dynamics without making specific assumptions about the shape of the functions, letting the data speak for themselves. We depart from the existing literature because our analysis is richer in the dynamics of volatility and jumps.
Why is it important?
The importance of the paper is mainly theoretical: we show how to fully include jumps in a stochastic volatility model to obtain functional estimates of the dynamics, something that has not been done before.
The following have contributed to this page: Roberto Reno