A pathwise inference method for the parameters of diffusion terms

DOI10.1080/10485252.2017.1367789zbMath1378.62127arXiv1506.05627OpenAlexW2620634606MaRDI QIDQ4600191

Nikolai G. Dokuchaev

Publication date: 5 January 2018

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05627

zbMATH Keywords

volatilitypower indexCox-Ingersoll-Ross processpathwise estimationCKLS modeldiffusions processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Parameter estimation in CKLS model by continuous observations ⋮ Fast maximum likelihood estimation of parameters for square root and Bessel processes

This page was built for publication: A pathwise inference method for the parameters of diffusion terms