Results 1 -
4 of
4
Estimating functions for diffusion-type processes
"... In this chapter we consider parametric inference based on discrete time observations X0, Xt1,...,Xtn from a d-dimensional stochastic process. In most of the chapter the statistical model for the data will be a diffusion model given by a stochastic differential equation. We shall, however, also consi ..."
Abstract
-
Cited by 1 (1 self)
- Add to MetaCart
In this chapter we consider parametric inference based on discrete time observations X0, Xt1,...,Xtn from a d-dimensional stochastic process. In most of the chapter the statistical model for the data will be a diffusion model given by a stochastic differential equation. We shall, however, also consider some examples of non-Markovian models, where we typically assume
_________________________________________________________________________________ Exotic options: Proofs without
"... We review how reflection results can be used to give simple proofs of price formulas and derivations of static hedge portfolios for barrier and lookback options in the Black-Scholes model. 1 ..."
Abstract
- Add to MetaCart
We review how reflection results can be used to give simple proofs of price formulas and derivations of static hedge portfolios for barrier and lookback options in the Black-Scholes model. 1
