Jump Diffusion Model for Stock Market price of Small and Medium-Size Enterprises
Hasna Afifah Rusyda (a*), Lienda Novianty (a), Fajar Indrayatna (a)

a) Department of Statistics, Padjadjaran University
Jl. Raya Sumedang Km. 21
*hasna.afifah[at]unpad.ac.id

Abstract

The challenging process in modelling asset prices is dealing with the characteristic data that are dynamics and non-Gaussian. Especially, some data of certain stocks have jump. Therefore, a model that can handle such fluctuating data is needed. This study aims to predict and market the market^s prices accurately using Jump-Diffusion Model that can capture sudden, extreme changes during the research period.

Keywords: Jump Diffusion, Merton Model, Risk, Expected Shortfall

Topic: Mathematics