B3-2 Estimation of Jump-Times of a Black-Scholes Model with Jumps

Abstract

We investigate Black-Scholes SDE with jumps for the modeling of Nikkei 225 stock index. The stock price data of Nikkei 225 stock index are observed at discrete times, for example by the minute. Since the stock price data include lots of jumps, it is difficult to find real jump-times from the data. In this paper we consider how to separate jump-times from the observed times.