Saddlepoint approximations for continuous-time Markov processes
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- scientific article; zbMATH DE number 45789 (Why is no real title available?)
- scientific article; zbMATH DE number 1232408 (Why is no real title available?)
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
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- Saddlepoint approximations
- Saddlepoint approximations to option prices
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(37)- Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks
- Simulation-based estimation methods for financial time series models
- Order estimates for the exact Lugannani-Rice expansion
- Bias in estimating multivariate and univariate diffusions
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Parameter estimation for multivariate population processes: a saddlepoint approach
- Asymptotic formulae for implied volatility in the Heston model
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- Saddlepoint approximation for the generalized inverse Gaussian Lévy process
- Computation of VaR for portfolios in intensity models
- The Gärtner-Ellis theorem, homogenization, and affine processes
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Risk adjustments of option prices under time-changed dynamics
- Efficient estimation and filtering for multivariate jump-diffusions
- Saddlepoint expansions for sums of Markov dependent variables on a continuous state space
- The delta expansion for the transition density of diffusion models
- Estimating jump-diffusions using closed-form likelihood expansions
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Applying the saddlepoint approximation to bivariate stochastic processes
- Saddlepoint approximations for subordinator processes
- Saddlepoint approximations of the distribution of the person parameter in the two parameter logistic model
- The empirical saddlepoint estimator
- The continuous-time limit of score-driven volatility models
- Saddlepoint approximations for affine jump-diffusion models
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Maximum likelihood estimation of partially observed diffusion models
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Simulated likelihood estimators for discretely observed jump-diffusions
- Parameter estimation for multivariate diffusion systems
- Parameter estimation for discretely observed linear birth‐and‐death processes
- Density approximations for multivariate affine jump-diffusion processes
- Bias in the estimation of the mean reversion parameter in continuous time models
- A copula-based approximation to Markov chains
- Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
- THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
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