Search Results - subject:"diffusions"

Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions

Choi, Seungmoon - In: Journal of Econometrics 174 (2013) 2, pp. 45-65

-inhomogeneous diffusions in closed form. There are many empirical evidences supporting that the data generating process governing dynamics of …

Persistent link: https://www.econbiz.de/10011052325

Error analysis of finite difference and Markov chain approximations for option pricing

Li, Lingfei; Zhang, Gongqiu - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 877-919

Persistent link: https://www.econbiz.de/10011969078

Financial equilibrium with asymmetric information and random horizon

Çetin, Umut - In: Finance and stochastics 22 (2018) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10011945630

Explosion in the quasi-Gaussian HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666

Persistent link: https://www.econbiz.de/10011945882

Goodness-of-fit testing for fractional diffusions

Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012

This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...

Persistent link: https://www.econbiz.de/10010851227

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Henry-Labordere, Pierre - HAL - 2012

branching diffusions describing a Galton-Watson random tree. Such an algorithm leads at the same time to a computation of the …

Persistent link: https://www.econbiz.de/10009654254

Stochastic volatility vs. jump diffusions : evidence from the Chinese convertible bond market

Fan, Chenxi; Luo, Xingguo; Wu, Qingbiao - In: International review of economics & finance : IREF 49 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011748345

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215

Persistent link: https://www.econbiz.de/10011815225

Modelling VIX and VIX derivatives with reducible diffusions

Tong, Zhigang - In: International journal of bonds and derivatives 3 (2017) 2, pp. 153-175

Persistent link: https://www.econbiz.de/10011807776

Continuous-time perpetuities and time reversal of diffusions

Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110

Persistent link: https://www.econbiz.de/10011944065