A new delta expansion for multivariate diffusions via the Itô-Taylor expansion

DOI10.1016/j.jeconom.2019.01.003zbMath1452.62607OpenAlexW2912842501MaRDI QIDQ1740295

Nian Yang, Nan Chen, Xiangwei Wan

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.01.003

zbMATH Keywords

maximum likelihood estimationItô-Taylor expansiondelta expansionclosed-form density expansionmultivariate diffusions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (4)

A new representation of the risk-neutral distribution and its applications ⋮ Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Pricing and exercising American options: an asymptotic expansion approach

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