Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
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Publication:2032212
DOI10.1007/s00180-020-01040-9zbMath1505.62395OpenAlexW3093993735MaRDI QIDQ2032212
Martin Kegnenlezom, Renaud Fadonougbo, Patrice Takam Soh, Eugene Kouassi
Publication date: 16 June 2021
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-020-01040-9
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
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