Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations
AS Hurn, JI Jeisman, KA Lindsay - Journal of Financial …, 2007 - academic.oup.com
Maximum-likelihood estimates of the parameters of stochastic differential equations are
consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form …
consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form …
Calibrating and pricing with a stochastic-local volatility model
The constant volatility plain vanilla Black-Scholes model is clearly inadequate to reproduce
even plain vanilla option prices observed in the market. Efforts to build a pricing model with …
even plain vanilla option prices observed in the market. Efforts to build a pricing model with …
Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
LV Ballestra, G Pacelli - Engineering analysis with boundary elements, 2011 - Elsevier
We propose a numerical method to compute the survival (first-passage) probability density
function in jump-diffusion models. This function is obtained by numerical approximation of …
function in jump-diffusion models. This function is obtained by numerical approximation of …
The hybrid stochastic-local volatility model with applications in pricing FX options
Y Tian - Available at SSRN 2399935, 2013 - papers.ssrn.com
This thesis presents our study on using the hybrid stochastic-local volatility model for option
pricing. Many researchers have demonstrated that stochastic volatility models cannot …
pricing. Many researchers have demonstrated that stochastic volatility models cannot …
Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
P Li, W Gu - Frontiers of Mathematics in China, 2017 - Springer
A method based on higher-order partial differential equation (PDE) numerical scheme are
proposed to obtain the transition cumulative distribution function (CDF) of the diffusion …
proposed to obtain the transition cumulative distribution function (CDF) of the diffusion …
一维非线性扩散过程转移密度的高阶近似方法
谷伟， 赵梦飞， 周坤 - 统计与信息论坛, 2015 - cqvip.com
考虑一种基于偏微分方程(PDE) 的方法来近似一维非线性扩散过程的转移密度,
该方法首先构造具有四阶精度的差分法数值求解与该利率模型相关联的偏微分方程 …
该方法首先构造具有四阶精度的差分法数值求解与该利率模型相关联的偏微分方程 …
[PDF][PDF] 扩散过程模型估计效率问题研究
谷伟， 崔俊交， 谷伟， 崔俊交 - 华中师范大学学报 (自然科学版), 2015 - journal.ccnu.edu.cn
考虑扩散过程模型的一种基于偏微分方程的估计方法, 该方法通过数值求解与扩散模型相关联的
偏微分方程(PDEs), 获得转移密度函数的近似解, 把Hurn 等和陈晖等所采用的方法进行了对比 …
偏微分方程(PDEs), 获得转移密度函数的近似解, 把Hurn 等和陈晖等所采用的方法进行了对比 …