Full Bayesian Analysis for Price Calculation in Jump-diffusion Models

We observe a process $X$ on a fixed time interval $[0, T]$, at times $0, T/n, 2T/n, \ldots ,T$ and we wish to decide whether the process has jumps or not. We study an evidence measure driven by a full Bayesian analysis for Jump-diffusion model. In order to compare power, we adapt the full Bayesian decision procedure, as defined in Pereira and Stern, \cite{perste}.