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Publication:4038332
zbMATH Open0778.62018MaRDI QIDQ4038332FDOQ4038332
Publication date: 16 May 1993
Title of this publication is not available (Why is that?)
likelihood ratio statisticsdiffusion processesbounded derivativesfunctionalsstandard Wiener processsmall diffusionsasymptotic expansions of mean valuesMallivavin calculuspricing path dependent options
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Applications of statistics to economics (62P20) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic distribution theory in statistics (62E20) Microeconomic theory (price theory and economic markets) (91B24)
Cited In (42)
- Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
- Least squares estimation for path-distribution dependent stochastic differential equations
- Edgeworth expansions for volatility models
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL
- A closed-form expansion approach for pricing discretely monitored variance swaps
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Asymptotic Expansion Approach in Finance
- Hybrid estimators for small diffusion processes based on reduced data
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Least squares estimation for distribution-dependent stochastic differential delay equations
- On penalized estimation for dynamical systems with small noise
- Asymptotic behavior of small ball probabilities
- Asymptotic expansion and estimates of Wiener functionals
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
- Estimation of intrinsic growth factors in a class of stochastic population model
- Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
- Asymptotic analysis for stochastic volatility: martingale expansion
- Short-time at-the-money skew and rough fractional volatility
- Adaptive inference for small diffusion processes based on sampled data
- Coefficients of asymptotic expansions of SDE with jumps
- Estimating jump-diffusions using closed-form likelihood expansions
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
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- Information geometry of small diffusions
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- Small-\(t\) expansion for the Hartman-Watson distribution
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
- Approximate martingale estimating functions for stochastic differential equations with small noises
- Momentum-space approach to asymptotic expansion for stochastic filtering
- Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
- Pricing and exercising American options: an asymptotic expansion approach
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Conditional expansions and their applications.
- High order asymptotic expansion for Wiener functionals
- Malliavin calculus and martingale expansion
- Weak approximation of averaged diffusion processes
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
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