Saddlepoint approximations for continuous-time Markov processes (Q278194): Difference between revisions

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-.1016/j.jeconom.2005.07.004
@@ Property / DOI: 10.1016/j.jeconom.2005.07.004 / rank @@
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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / zbMATH DE Number: 6575916 / rank @@
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+transition density
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@@ Property / zbMATH Keywords @@
+infinitesimal generator
@@ Property / zbMATH Keywords: infinitesimal generator / rank @@
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+characteristic function
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@@ Property / zbMATH Keywords @@
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@@ Property / cites work @@
+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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+A Theory of the Term Structure of Interest Rates
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+Saddlepoint Approximations in Statistics
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+General Saddlepoint Approximations with Applications to L Statistics
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+Saddle point approximation for the distribution of the sum of independent random variables
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+Q3996154
@@ Property / cites work: Q3996154 / rank @@
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+Option pricing when underlying stock returns are discontinuous
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+Q4303982
@@ Property / cites work: Q4303982 / rank @@
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+Saddlepoint approximations to option prices
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+Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
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@@ Property / DOI @@
+.1016/J.JECONOM.2005.07.004
@@ Property / DOI: 10.1016/J.JECONOM.2005.07.004 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:278194