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Density Approximations for Multivariate Affine Jump-Diffusion Processes

Density Approximations for Multivariate Affine Jump-Diffusion Processes

Damir Filipović
E. Mayerhofer
P. Schneider
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Papers citing "Density Approximations for Multivariate Affine Jump-Diffusion Processes"

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Title
Closed-form likelihood expansions for multivariate diffusions
Closed-form likelihood expansions for multivariate diffusions
Yacine Ait-Sahalia
69
492
0
04 Apr 2008