Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices

SSRN Electronic Journal ◽

10.2139/ssrn.606361 ◽

1998 ◽

Author(s):

Cyrus A. Ramezani ◽

Yong Zeng

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Security Prices ◽

Jump Diffusion Processes

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Maximum likelihood estimation for the drift parameter in diffusion processes

Stochastics ◽

10.1080/17442508.2015.1124879 ◽

2015 ◽

Vol 88 (5) ◽

pp. 699-710 ◽

Author(s):

Chao Wei ◽

Huisheng Shu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Drift Parameter

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Online Maximum-Likelihood Estimation of the Parameters of Partially Observed Diffusion Processes

IEEE Transactions on Automatic Control ◽

10.1109/tac.2018.2880404 ◽

2019 ◽

Vol 64 (7) ◽

pp. 2814-2829 ◽

Author(s):

Simone Carlo Surace ◽

Jean-Pascal Pfister

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Partially Observed

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Maximum likelihood estimation of stock volatility using jump-diffusion models

Cogent Economics & Finance ◽

10.1080/23322039.2019.1582318 ◽

2019 ◽

Vol 7 (1) ◽

pp. 1582318

Author(s):

Nixon S. Chekenya ◽

Maggie Chen

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Diffusion Models ◽

Stock Volatility

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Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models

Contemporary Mathematics - Mathematics of Finance ◽

10.1090/conm/351/06400 ◽

2004 ◽

pp. 155-169 ◽

Author(s):

Floyd B. Hanson ◽

John J. Westman ◽

Zongwu Zhu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Diffusion Models

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Maximum Likelihood Estimation of Gamma Jump-diffusion Process

DEStech Transactions on Social Science Education and Human Science ◽

10.12783/dtssehs/icssd2018/27425 ◽

2019 ◽

Author(s):

SI-JIAO ZHU ◽

WEI ZHANG

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Process ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Jump Diffusion Process

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Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

The Annals of Statistics ◽

10.1214/07-aos550 ◽

2009 ◽

Vol 37 (1) ◽

pp. 223-245 ◽

Author(s):

Alexandros Beskos ◽

Omiros Papaspiliopoulos ◽

Gareth Roberts

Keyword(s):

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Monte Carlo Maximum Likelihood

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Approximate maximum likelihood estimation for diffusion processes from discrete observations

Stochastics and Stochastics Reports ◽

10.1080/17442509508833960 ◽

1995 ◽

Vol 52 (1-2) ◽

pp. 1-13 ◽

Author(s):

M. N. Mishra ◽

J. P. N. Bishwal

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Discrete Observations ◽

Approximate Maximum Likelihood

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Maximum likelihood estimation of the double exponential jump-diffusion process

Annals of Finance ◽

10.1007/s10436-006-0062-y ◽

2006 ◽

Vol 3 (4) ◽

pp. 487-507 ◽

Author(s):

Cyrus A. Ramezani ◽

Yong Zeng

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Process ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Process

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Maximum-likelihood estimation for diffusion processes via closed-form density expansions

The Annals of Statistics ◽

10.1214/13-aos1118 ◽

2013 ◽

Vol 41 (3) ◽

pp. 1350-1380 ◽

Author(s):

Chenxu Li

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Closed Form ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Density Expansions

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Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes

Journal of Business and Economic Statistics ◽

10.1198/073500102288618397 ◽

2002 ◽

Vol 20 (3) ◽

pp. 297-338 ◽

Author(s):

Garland B Durham ◽

A. Ronald Gallant

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Numerical Techniques

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