Modelling asynchronous assets with jump-diffusion processes

DOI10.1007/978-3-319-99719-3_43zbMath1414.62416OpenAlexW2899369261MaRDI QIDQ2417140

Yuxin Chen, R. N. Makarov

Publication date: 11 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-99719-3_43

zbMATH Keywords

maximum likelihood estimationasset pricingmodel calibrationmissing datajump-diffusionmultivariate jump-diffusion model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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