Saddlepoint approximations for continuous-time Markov processes
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- General Saddlepoint Approximations with Applications to L Statistics
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- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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- Option pricing when underlying stock returns are discontinuous
- Saddle point approximation for the distribution of the sum of independent random variables
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- Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
- The Variance Gamma Process and Option Pricing
Cited in
(38)- Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
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- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- A copula-based approximation to Markov chains
- Saddlepoint approximation for the generalized inverse Gaussian Lévy process
- The empirical saddlepoint estimator
- Saddlepoint approximations for affine jump-diffusion models
- Simulated likelihood estimators for discretely observed jump-diffusions
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
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- The delta expansion for the transition density of diffusion models
- Order estimates for the exact Lugannani-Rice expansion
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- THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- The Gärtner-Ellis theorem, homogenization, and affine processes
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- Maximum likelihood estimation of partially observed diffusion models
- Parameter estimation for multivariate population processes: a saddlepoint approach
- Saddlepoint approximations for subordinator processes
- Bias in the estimation of the mean reversion parameter in continuous time models
- Bias in estimating multivariate and univariate diffusions
- Applying the saddlepoint approximation to bivariate stochastic processes
- Parameter estimation for discretely observed linear birth‐and‐death processes
- Computation of VaR for portfolios in intensity models
- Constrained Polynomial Likelihood
- Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
- Saddlepoint expansions for sums of Markov dependent variables on a continuous state space
- Saddlepoint approximations of the distribution of the person parameter in the two parameter logistic model
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