Saddlepoint Approximations for Continuous-Time Markov Processes ∗

By Yacine Aït-Sahalia, Jialin Yu. 2006

99 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/24040973c5606532dde7ebe3ac36058397d69f66

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Citations in the corpus

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007, methodology): “When applying this method to transition densities for some continuous time models that are widely used in finance, Aı̈t-Sahalia and Yu (2006) have found very small approximation errors.”
Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, background): “and Mykland [7, 8], Aı̈t-Sahalia and Kimmel [5, 6], Li [45], Egorov, Li and Xu [26], Schaumburg [58], Aı̈t-Sahalia and Yu [9], Yu [72], Filipović, Mayerhofer and Schneider [31], Tang and Chen [61], Xiu [66] and Chang and Chen [22].”
Simulation-Based Estimation of Contingent-Claims Prices (2009, unknown): “Recent years have witnessed a growing interest in approximating ln f (St |St−1; θ) with closedformapproximations.ImportantcontributionsincludeAit-Sahalia(1999,2002, 2007) and Ait-Sahalia and Yu (2006) .”
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, unknown): “…where option prices are computed through an approximation of the risk-neutral density underlying the true pricing model, as in Abadir and Rockinger (2003), or in the “saddlepoint approximations”considered by Rogers and Zane (1999), Xiong, Wong, and Salopek (2005), or Aït-Sahalia and Yu (2006).”
Bias in the estimation of the mean reversion parameter in continuous time models (2012, background): “In terms of parameter estimation, important contributions include Lo (1988), Bergstrom (1990), Duffie and Singleton (1993), Pedersen (1995), Aït-Sahalia (1999, 2002), Stanton (1997), Elerian et al. (2001), Bandi and Phillips (2003, 2007), and Aït-Sahalia and Yu (2006).”