Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material

This supplementary material for Estimating Jump-Diffusions Using Closed-form Likelihood Expansions contains (1) closed-form expansion formulas for the examples (Section 1), (2) proofs of the results in the appendices (Section 2), (3) expectation (D.4) under correlated normal distribution of jump size (Section 3), (4) expectation (D.4) under the jump-size distribution of the CEV-SVCJ model (Section 4), (5) validity of the density expansion (Section 5), (6) approximate maximum-likelihood estimation via the density expansion (Section 6)

Year of publication:	2016
Authors:	Li, Chenxu
Other Persons:	Chen, Dachuan (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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