Explicit form of approximate transition probability density functions of diffusion processes

DOI10.1016/j.jeconom.2015.02.003zbMath1337.62202OpenAlexW2130008358MaRDI QIDQ494367

Seungmoon Choi

Publication date: 1 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.003

zbMATH Keywords

maximum likelihood estimationoption pricingmultivariate diffusiontransition probability density function

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)

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