On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices

DOI10.1134/S1995080222050183zbMath1491.91152MaRDI QIDQ2140956

R. M. Rezin, L. A. Merkin

Publication date: 23 May 2022

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

MLEmodel calibrationtransition densitiesheat kernelsalgorithmic tradingrange-based estimators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Stochastic calculus for finance. II: Continuous-time models.
• Double Lookbacks
• Heat Kernel Method and its Applications
• Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Unnamed Item

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