ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH

Title & Authors
ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH
Kwon, Young-Mee; Jeon, In-Tae; Kang, Hye-Jeong;

Abstract
We consider jump processes which has only downward jumps with size a fixed fraction of the current process. The jumps of the pro cesses are interpreted as crashes and we assume that the jump intensity is a nondecreasing function of the current process say $\small{\lambda}$(X) (X
Keywords
crash;explosion;jump diffusion;
Language
English
Cited by
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