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

DOI10.1016/j.jedc.2009.08.001zbMath1182.91211OpenAlexW3123809247MaRDI 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 estimationasset price bubblesmartingale pricingdamped diffusion

Mathematics Subject Classification ID

Related Items (6)

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 ⋮ Explicit form of approximate transition probability density functions of diffusion processes ⋮ The delta expansion for the transition density of diffusion models ⋮ CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES

Uses Software

• KernSmooth

Cites Work

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