An approximation of small-time probability density functions in a general jump diffusion model

DOI10.1016/j.amc.2015.10.003zbMath1410.60084OpenAlexW2202340444MaRDI QIDQ668543

Juan-Miguel Gracia

Publication date: 19 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.10.003

zbMATH Keywords

characteristic functionsprobability density functionsstochastic volatility modelsjump diffusion processItô-Taylor expansions

Mathematics Subject Classification ID

Related Items (1)

CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process

Cites Work

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• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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