Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion
- 1 October 2002
- journal article
- Published by Wiley in The Journal of Finance
- Vol. 57 (5) , 2075-2112
- https://doi.org/10.1111/1540-6261.00489
Abstract
No abstract availableKeywords
All Related Versions
This publication has 24 references indexed in Scilit:
- TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSESEconometric Theory, 1998
- Spectral methods for identifying scalar diffusionsJournal of Econometrics, 1998
- The Variance Gamma Process and Option PricingEuropean Finance Review, 1998
- Jump‐Diffusion Processes and the Term Structure of Interest RatesThe Journal of Finance, 1988
- Prices of State-Contingent Claims Implicit in Option PricesThe Journal of Business, 1978
- Prices for State-Contingent Claims: Some Estimates and ApplicationsThe Journal of Business, 1978
- Option pricing when underlying stock returns are discontinuousJournal of Financial Economics, 1976
- Coincidence probabilitiesPacific Journal of Mathematics, 1959
- Coincidence properties of birth and death processesPacific Journal of Mathematics, 1959
- Stationary Markov processes with continuous pathsTransactions of the American Mathematical Society, 1956