论文信息 - A Stochastic Differential Equation Model

A Stochastic Differential Equation Model

In this paper, we propose a stochastic differential equation model where the underlying stochastic process is a jumpdiffusion process.The stochastic differential equation is represented as a Partial Integro Differential Equation(PIDE) using the Fokker Planck equation. The solution of the PIDE is obtained by the method of finite differences. The consistency, the convergence of the solution and the stability of the finite difference scheme are discussed. The model is applied to forecast the daily price changes in a commodity derivative. The observed values are compared graphically with the values expected from the proposed model.

N. Hema | A. Jeyalakshmi

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