Search Results - subject:"Discrete sampling"

Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate

Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10012030903

Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

Persistent link: https://www.econbiz.de/10011974668

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011455019

Valuation of options on discretely sampled variance : a general analytic approximation

Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66

Persistent link: https://www.econbiz.de/10011656703

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models

Yu, Jun - School of Economics, Singapore Management University - 2009

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least...

Persistent link: https://www.econbiz.de/10008521817

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models

Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2009

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in Onite dis- crete samples and in large in-Oll samples. In this paper, we obtain two expressions to approximate the bias of the least...

Persistent link: https://www.econbiz.de/10009365357

The valuation of forward-start rainbow options

Chen, Chun-Ying; Wang, Hsiao-Chuan; Wang, Jr-Yan - In: Review of derivatives research 18 (2015) 2, pp. 145-188

Persistent link: https://www.econbiz.de/10011477296

ON DISCRETE SAMPLING OF TIME-VARYINGCONTINUOUS-TIME SYSTEMS

Robinson, Peter - Suntory and Toyota International Centres for Economics … - 2007

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS P.M. Robinson …. Key Words and Phrases: Stochastic differential equations; time-varying coefficients; discrete sampling; irregular … approaches. Phillips and Yu (2005a,b, 2006) emphasize the magnitude of �nite sample bias due to the discrete sampling, and its …

Persistent link: https://www.econbiz.de/10005151150

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2007

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

Persistent link: https://www.econbiz.de/10005762525