Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models
نویسندگان
چکیده
منابع مشابه
Range-based Parameter Estimation in Diffusion Models
We study the behavior of the maximum, the minimum and the terminal value of time–homogeneous one–dimensional diffusions on finite time intervals. To begin with, we prove an existence result for the joint density by means of Malliavin calculus. Moreover, we derive expansions for the joint moments of the triplet (H,L,X) at time Delta w.r.t. Delta. Here, X stands for the underlying diffusion where...
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B E RT VA N E S , P E T E R S P R E I J 1 and HARRY VAN ZANTEN 2 Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Plantage Muidergracht 24, 1018 TV Amsterdam, The Netherlands. E-mail: [email protected]; [email protected] Division of Mathematics and Computer Science, Faculty of Sciences, Free University Amsterdam, De Boelelaan 1081a, 1081 HV Amsterdam, The Netherlands...
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ژورنال
عنوان ژورنال: Complexity
سال: 2020
ISSN: 1076-2787,1099-0526
DOI: 10.1155/2020/5048925