Explicit form of approximate transition probability density functions of diffusion processes

DOI10.1016/J.JECONOM.2015.02.003zbMATH Open1337.62202OpenAlexW2130008358MaRDI QIDQ494367FDOQ494367

Seungmoon Choi

Publication date: 1 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.003

zbMATH Keywords

maximum likelihood estimationoption pricingmultivariate diffusiontransition probability density function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Cites Work

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Cited In (16)

• A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
• The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation
• Non parametric estimation of transition density for second-order diffusion processes
• Approximate maximum likelihood estimation of a threshold diffusion process
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
• Estimating jump-diffusions using closed-form likelihood expansions
• Transition probability density of a certain diffusion process concentrated on a finite spatial interval
• Statistical exponential formulas for homogeneous diffusion
• A representation formula for transition probability densities of diffusions and applications
• Spectral representation of transition density of Fisher–Snedecor diffusion
• Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
• Title not available (Why is that?)
• A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data
• Maximum likelihood estimation of diffusions by continuous time Markov chain
• Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps

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