Parameter estimation from multinomial trees to jump diffusions with k means clustering
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References listed on IDEAS
- J.W. Nieuwenhuis & M.H. Vellekoop, 2004. "Weak convergence of tree methods, to price options on defaultable assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 87-107, December.
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- Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
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More about this item
Keywords
parameter estimation; multinomial tree; jump model; weak convergence; K means clustering;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-05-26 (Econometrics)
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