We develop an approximation technique for pricing finite-maturity timer options under Heston-like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option prices...

The general theory of prediction-based estimating functions for stochastic process models is reviewed and extended. Particular attention is given to optimal estimation, asymptotic theory and Gaussian processes. Several examples of applications are presented. In particular partial observation of...

The Pearson diffusions is a flexible class of diffusions defined by having linear drift and quadratic squared diffusion coefficient. It is demonstrated that for this class explicit statistical inference is feasible. Explicit optimal martingale estimating func- tions are found, and the...