A new analytical approximation tool, derived from the classical PDE theory, is introduced in order to build approximate transition densities of diffusions.
The tool is useful for approximate pricing and hedging of financial derivatives, and for maximum likelihood and method of moments estimates of diffusion ...
A new analytical approximation tool, derived from the classical PDE theory, is introduced in order to build approximate transition densities of diffusions.
A new analytical approximation tool, derived from the classical PDE theory, is introduced in order to build approximate transition densities of diffusions.
May 9, 2021 · Abstract:We adapt and extend Yosida's parametrix method, originally introduced for the construction of the fundamental solution to a ...
Feb 20, 2006 · For this purpose we represent the transition density as a functional of densities of sums of i.i.d. variables. This will be done by application ...
For this purpose we represent the transition density as a functional of densities of sums of i.i.d. variables. This will be done by application of the ...
The tool is useful for approximate pricing and hedging of financial derivatives and for maximum likelihood and method of moments estimates of diffusion ...
We propose a novel continuous-time Markov chain approach to estimate the unknown parameters of general one-dimensional diffusions.
Missing: Parametrix | Show results with:Parametrix
which possesses a transition probability density pt(x,y). To construct this transition probability density and to obtain the two- sided estimates on it, ...