Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212)
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scientific article; zbMATH DE number 7360109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 |
scientific article; zbMATH DE number 7360109 |
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Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (English)
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16 June 2021
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CIR with jumps
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saddle point
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Milstein approximation
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likelihood method
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