Explicit form of approximate transition probability density functions of diffusion processes
作者： Seungmoon Choi
DOI: 10.1016/J.JECONOM.2015.02.003
关键词: Jump diffusion 、 Identity matrix 、 Valuation of options 、 Diffusion process 、 Mathematics 、 Monte Carlo method 、 Probability density function 、 Applied mathematics 、 Diffusion (business) 、 State variable 、 Econometrics
摘要: … When we need to find conditional moments of a diffusion process, the TPDF is required. In case an asset is written on a price process that is diffusion under the risk-neutral measure, the …
elsevier.com
sci-hub.se 参考文章(35)
Robert C. Merton, Theory of rational option pricing ,(2011)
Steven E. Shreve, Ioannis Karatzas, Brownian Motion and Stochastic Calculus ,(1987)
Song Xi Chen, Jinyuan Chang, On the Approximate Maximum Likelihood Estimation for Diffusion Processes Annals of Statistics. ,vol. 39, pp. 2820- 2851 ,(2011) , 10.1214/11-AOS922
Robert Jarrow, Andrew Rudd, Approximate option valuation for arbitrary stochastic processes Journal of Financial Economics. ,vol. 10, pp. 347- 369 ,(1982) , 10.1016/0304-405X(82)90007-1
M. Kessler, A. Rahbek, Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions Statistical Inference for Stochastic Processes. ,vol. 7, pp. 137- 151 ,(2004) , 10.1023/B:SISP.0000026044.28647.56
Chenxu Li, Closed-Form Expansion, Conditional Expectation, and Option Valuation Mathematics of Operations Research. ,vol. 39, pp. 487- 516 ,(2014) , 10.1287/MOOR.2013.0613
Warren P. Johnson, The Curious History of Faà di Bruno's Formula American Mathematical Monthly. ,vol. 109, pp. 217- 234 ,(2002) , 10.1080/00029890.2002.11919857
Lars Peter Hansen, Thomas J. Sargent, The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities Econometrica. ,vol. 51, pp. 377- 387 ,(1983) , 10.2307/1911996
Steven L. Heston, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Review of Financial Studies. ,vol. 6, pp. 327- 343 ,(1993) , 10.1093/RFS/6.2.327
James D. Hamilton, A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica. ,vol. 57, pp. 357- 384 ,(1989) , 10.2307/1912559