Parametrix Approximation of Diffusion Transition Densities
نویسندگان
چکیده
A new analytical approximation tool, derived from the classical PDEs’ 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 parameters. The approximation is uniform with respect to time and space variables. Moreover easily computable error bounds are available in any dimension.
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ورودعنوان ژورنال:
- SIAM J. Financial Math.
دوره 1 شماره
صفحات -
تاریخ انتشار 2010