- AutorIn
- Dana Düvelmeyer
- Bernd Hofmann
- Titel
- Ill-posedness of parameter estimation in jump diffusion processes
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:swb:ch1-200401199
- Abstract (EN)
- In this paper, we consider as an inverse problem the simultaneous estimation of the five parameters of a jump diffusion process from return observations of a price trajectory. We show that there occur some ill-posedness phenomena in the parameter estimation problem, because the forward operator fails to be injective and small perturbations in the data may lead to large changes in the solution. We illustrate the instability effect by a numerical case study. To overcome the difficulty coming from ill-posedness we use a multi-parameter regularization approach that finds a trade-off between a least-squares approach based on empircal densities and a fitting of semi-invariants. In this context, a fixed point iteration is proposed that provides good results for the example under consideration in the case study.
- Andere Ausgabe
- URL
Link: http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401180 - Freie Schlagwörter
- ill-posedness
- inverse problem
- jump diffusion
- parameter estimation
- regularization
- Klassifikation (DDC)
- 510
- Publizierende Institution
- Technische Universität Chemnitz, Chemnitz
- URN Qucosa
- urn:nbn:de:swb:ch1-200401199
- Veröffentlichungsdatum Qucosa
- 25.08.2004
- Dokumenttyp
- Vorlesung/Vortrag
- Sprache des Dokumentes
- Englisch