A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

DOI10.1016/j.jedc.2009.08.001zbMath1182.91211MaRDI QIDQ846506

Minqiang Li

Publication date: 9 February 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/11185/3/MPRA_paper_11185.pdf

zbMATH Keywords

maximum likelihood estimation; asset price bubbles; martingale pricing; damped diffusion

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91G80: Financial applications of other theories

Related Items

Maximum-likelihood estimation for diffusion processes via closed-form density expansions, Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions, A Damped Telegraph Random Process with Logistic Stationary Distribution

Uses Software

• KernSmooth

Cites Work

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