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Estimating jump–diffusions using closed-form likelihood expansions · Study

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ArticleEstimating jump–diffusions using closed-form likelihood expansions

Chenxu Li2016

Article2016

Estimating jump–diffusions using closed-form likelihood expansions

Chenxu Li · Dachuan Chen

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

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 2005Stochastic Integration and Differential Equations 1983Stochastic Differential Equations and Diffusion Processes 2003Monte Carlo Methods in Financial Engineering

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Year2016

Typearticle

Published2016-07-18

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2016.07.001

openalex_workW2495559533

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