Drift estimation of generalized security price processes from high frequency derivative prices (Q375335)
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scientific article; zbMATH DE number 6220892
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| English | Drift estimation of generalized security price processes from high frequency derivative prices |
scientific article; zbMATH DE number 6220892 |
Statements
Drift estimation of generalized security price processes from high frequency derivative prices (English)
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29 October 2013
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excess return
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market price of risk
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risk-neutral pricing
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quasi-likelihood estimation
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Feynman-Kac
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asymptotic consistency
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0.7919005751609802
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0.7919003367424011
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0.7848653197288513
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0.7582055926322937
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0.7504025101661682
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