A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion-Reference-Cited by-同舟云学术

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A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Capriotti Luca

Publisher

Elsevier BV

Reference29 articles.

1. Theorie de la Sp�culation;L Bachelier;Annales de l'Ecole Normale Sup�rieure,1900

2. The Pricing of Options and Corporate Liabilities;F Black;Journal of Political Economy,1973

3. Theory of Rational Option Pricing;R Merton;Bell Journal of Economics,1973

4. A Theory of the Term Structure of Interest Rates;J C Cox;Econometrica,1985

5. Pricing with a Smile;B Dupire;Risk,1994

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An Effective Approximation for Zero-Coupon Bonds and Arrow-Debreu Prices in the Black-Karasinski Model;SSRN Electronic Journal;2014

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