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ArticleSaddlepoint approximations for continuous-time Markov processes

Yacine Aı ̈t-Sahalia2005

Article2005

Saddlepoint approximations for continuous-time Markov processes

Yacine Aı ̈t-Sahalia · Jialin Yu

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

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1999Continuous Martingales and Brownian Motion 1976Option pricing when underlying stock returns are discontinuous 1999Option valuation using the fast Fourier transform 1998The Variance Gamma Process and Option Pricing 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 1995Saddlepoint Approximations

Cited by

2012Bias in the estimation of the mean reversion parameter in continuous time models 2013Maximum-likelihood estimation for diffusion processes via closed-form density expansions 2010Asymptotic formulae for implied volatility in the Heston model 2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 2010Bias in estimating multivariate and univariate diffusions

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Year2005

Typearticle

Published2005-08-31

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations90

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2005.07.004

openalex_workW1969367709

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2009

Simulation-Based Estimation of Contingent-Claims Prices

2008Saddlepoint approximations for affine jump-diffusion models