Estimating jump-diffusions using closed-form likelihood expansions
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Cites work
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- The pricing of options and corporate liabilities
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Cited in
(22)- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Estimating functions for jump-diffusions
- The delta expansion for the transition density of diffusion models
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Closed-form likelihood expansions for multivariate diffusions
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Approximate maximum likelihood estimation of semi-parametric jump-diffusion model -- closed-expansion method based on transfer density
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- From bond yield to macroeconomic instability: a parsimonious affine model
- Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- Simulated likelihood estimators for discretely observed jump-diffusions
- Empirical likelihood inference for the second-order jump-diffusion model
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- Likelihood inference for diffusions: a survey
- Asymptotic expansion and estimates of Wiener functionals
- Weak approximation of SDEs for tempered distributions and applications
- High order asymptotic expansion for Wiener functionals
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