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ArticleAsymptotic properties of Monte Carlo estimators of diffusion processes

Jerome B. Detemple2005

Article2005

Asymptotic properties of Monte Carlo estimators of diffusion processes

Jerome B. Detemple · René García · Marcel Rindisbacher

26 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Simulation Techniques and Applications Markov Chains and Monte Carlo Methods

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References

2007Brownian Motion and Stochastic Calculus 1971Optimum consumption and portfolio rules in a continuous-time model 2016Numerical solution of stochastic differential equations 2006The Malliavin Calculus and Related Topics 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1995The Malliavin Calculus and Related Topics 2000Investing for the Long Run when Returns Are Predictable

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Year2005

Typearticle

Published2005-09-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languagefr

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2005.06.028

openalex_workW1517664946

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