MCMC Analysis of Diffusion Models With Application to Finance
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- 1 April 2001
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 19 (2) , 177-191
- https://doi.org/10.1198/073500101316970403
Abstract
This article proposes a new method for estimation of parameters in diffusion processes from discrete observations. The method is based on Markov-chain Monte Carlo methodology and applies to a wide ...Keywords
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