Saddlepoint approximations for continuous-time Markov processes

DOI10.1016/J.JECONOM.2005.07.004zbMath1418.62286OpenAlexW1969367709MaRDI QIDQ278194

Yacine Aït-Sahalia, Jialin Yu

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.004

zbMATH Keywords

characteristic functiontransition densityinfinitesimal generatorclosed-form approximation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Approximations to statistical distributions (nonasymptotic) (62E17)

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• Option pricing when underlying stock returns are discontinuous
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