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Saddlepoint approximations for continuous-time Markov processes
14 references·9 citing·36 second hop
Saddlepoint approximations for continuous-time Markov processes (2005)Saddlepoint approximations for continuous…Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007)Closed-form likelihood approx…Maximum likelihood estimation of time-inhomogeneous diffusions (2003)Maximum likelihood estimation…Transition Densities of Diffusion Processes (2002)Transition Densities of Diffu…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Closed-Form Likelihood Expansions for Multivariate Diffusions (2002)Closed-Form Likelihood Expans…Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Transition Densities for Inte…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Saddlepoint Approximations (1995)Saddlepoint ApproximationsContinuous martingales and brownian motion (1993)Continuous martingales and br…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Contrast function estimation for the drift parameter of ergodic jump diffusion process (2019)Contrast function estimation …A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (2019)A new delta expansion for mul…Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013)Maximum-likelihood estimation…Bias in the estimation of the mean reversion parameter in continuous time models (2012)Bias in the estimation of the…Bias in estimating multivariate and univariate diffusions (2010)Bias in estimating multivaria…Asymptotic formulae for implied volatility in the Heston model (2010)Asymptotic formulae for impli…Simulation-Based Estimation of Contingent-Claims Prices (2009)Simulation-Based Estimation o…Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models (2009)Adding and Subtracting Black-…Saddlepoint approximations for affine jump-diffusion models (2008)Saddlepoint approximations fo…The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)An equilibrium characterization of the term structure (1977)The surprise element: jumps in interest rates (2002)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Estimation of Dynamic Term Structure Models (2012)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Brownian Motion and Stochastic Calculus (2007)Modeling financial contagion using mutually exciting jump processes (2015)Pricing Interest-Rate-Derivative Securities (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Maximum Likelihood Estimation of Latent Affine Processes (2006)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Backward Stochastic Differential Equations in Finance (1997)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Rare Events Simulation for Heavy-Tailed Distributions (2000)Importance Sampling for Portfolio Credit Risk (2005)Probabilistic uncertainty analysis by mean-value first order Saddlepoint Approximation (2007)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1995Saddlepoint Approximations400 cited
  • 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited
  • 2002Closed-Form Likelihood Expansions for Multivariate Diffusions285 cited
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  • 2002Transition Densities of Diffusion Processes105 cited
  • 1993Continuous martingales and brownian motion97 cited
  • 2003Maximum likelihood estimation of time-inhomogeneous diffusions94 cited

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  • 2012Bias in the estimation of the mean reversion parameter in continuous time models

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79 cited
  • 2013Maximum-likelihood estimation for diffusion processes via closed-form density expansions75 cited
  • 2010Asymptotic formulae for implied volatility in the Heston model58 cited
  • 2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models58 cited
  • 2010Bias in estimating multivariate and univariate diffusions41 cited
  • 2009Simulation-Based Estimation of Contingent-Claims Prices39 cited
  • 2008Saddlepoint approximations for affine jump-diffusion models38 cited
  • 2019Contrast function estimation for the drift parameter of ergodic jump diffusion process26 cited
  • 2019A new delta expansion for multivariate diffusions via the Itô-Taylor expansion26 cited