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Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications

  • Published:2013-10-09 Issue:2 Volume:67 Page:321-350
  • ISSN:0010-3640
  • Container-title:Communications on Pure and Applied Mathematics
  • language:en
  • Short-container-title:Commun. Pur. Appl. Math.

Author:

Deuschel J. D.1,Friz P. K.23,Jacquier A.4,Violante S.5

Affiliation:

1. TU Berlin, Fakultät II Institut für Mathematik; MA 7-4 Strasse des 17. Juni 136 10623 Berlin Germany

2. TU Berlin, Fakultät II Institut für Mathematik; MA 7-2 Strasse des 17. Juni 136 10623 Berlin Germany

3. Weierstrass Institute for Applied Analysis and Stochastics; Mohrenstrasse 39 10117 Berlin Germany

4. Department of Mathematics Imperial College London; London SW7 2AZ Great Britain

5. TU Berlin, Fakultät II Institut für Mathematik; MA 706 Strasse des 17. Juni 136 10623 Berlin Germany

Publisher

Wiley

Subject

Applied Mathematics,General Mathematics

Reference41 articles.

1. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;J. Financial Economics,2007

2. Reconstructing volatility;Avellaneda;Risk,2002

3. Application of large deviation methods to the pricing of index options in finance;Avellaneda;C. R. Math. Acad. Sci. Paris,2003

4. General Freidlin-Wentzell large deviations and positive diffusions;Baldi;Statist. Probab. Lett.,2011

5. Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus;Arous;Ann. Sci. École Norm. Sup. (4),1988

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