Abstract
Characterization of volatile commodity prices with a stochastic jump-diffusion process, where jumps are described by an exponent of Compound Poisson Process. We provide several useful properties for discretized process and analyze parameter fitting algorithm via the moments method. In addition we prove that the distribution cannot be uniquely determined via its moments, as is the case for the lognormal distribution.
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The present research of the second author was partially supported by the RA MES State Committee of Science, in frame of the Research 18T-1A252 and the Mathematical Studies Center at Yerevan State University.
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(Submitted by S. A. Grigoryan)
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Kechejian, H., Ohanyan, V.K. & Bardakhchyan, V.G. On Poisson Mixture of Lognormal Distributions. Lobachevskii J Math 41, 340–348 (2020). https://doi.org/10.1134/S1995080220030087
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DOI: https://doi.org/10.1134/S1995080220030087