Estimation of partial differential equations with applications in finance

DOI10.1016/J.JECONOM.2008.04.004zbMath1418.62384OpenAlexW2158519430MaRDI QIDQ295399

Dennis Kristensen

Publication date: 13 June 2016

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

Full work available at URL: http://eprints.lse.ac.uk/24738/

zbMATH Keywords

diffusionestimationpartial differential equationsnonparametricderivative pricing

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Estimation of partial differential equations with applications in finance ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ Mesh free alternate directional implicit method based three dimensional super-diffusive model for benign brain tumor segmentation ⋮ Estimation of semiparametric locally stationary diffusion models ⋮ Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models

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