In this note, we consider an inverse problem in a jump diffusion model. Using
characteristic functions we prove the injectivity of the forward operator mapping
the five parameters determining the model to the density function of the return
distribution.
Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18380 |
Date | 07 October 2005 |
Creators | Starkloff, Hans-Jörg, Düvelmeyer, Dana, Hofmann, Bernd |
Publisher | Technische Universität Chemnitz |
Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
Language | English |
Detected Language | English |
Type | doc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text |
Rights | info:eu-repo/semantics/openAccess |
Relation | urn:nbn:de:swb:ch1-200501214, qucosa:18370 |
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