Dario Gasbarra

Parameter Estimation for the Mixed Fractional Merton Jump Diffusion Model with EM Algorithm

This paper proposes an Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model. The model combines fractional Brownian motion to capture long-range dependence with a compound Poisson jump process to describe abrupt movements in fi...