Explicit form of approximate transition probability density functions of diffusion processes
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Publication:494367
DOI10.1016/J.JECONOM.2015.02.003zbMATH Open1337.62202OpenAlexW2130008358MaRDI QIDQ494367FDOQ494367
Authors: 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
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maximum likelihood estimationoption pricingmultivariate diffusiontransition probability density function
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 (19)
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- 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
- 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
- Density approximations for multivariate affine jump-diffusion processes
- Closed-form approximations for diffusion densities: A path integral approach.
- An approximation of small-time probability density functions in a general jump diffusion model
- 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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