Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material

27 Pages Posted: 11 Jul 2016

See all articles by Chenxu Li

Chenxu Li

Peking University - Guanghua School of Management

Dachuan Chen

Nankai University

Date Written: July 9, 2016

Abstract

This supplementary material for Estimating Jump-Diffusions Using Closed-form Likelihood Expansions contains (1) closed-form expansion formulas for the examples (Section 1), (2) proofs of the results in the appendices (Section 2), (3) expectation (D.4) under correlated normal distribution of jump size (Section 3), (4) expectation (D.4) under the jump-size distribution of the CEV-SVCJ model (Section 4), (5) validity of the density expansion (Section 5), (6) approximate maximum-likelihood estimation via the density expansion (Section 6).

Keywords: maximum-likelihood estimation, jump-diffusion, discrete observations, transition density, expansion

JEL Classification: C13, C22, C32, G12

Suggested Citation

Li, Chenxu and Chen, Dachuan, Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material (July 9, 2016). Available at SSRN: https://ssrn.com/abstract=2807257 or http://dx.doi.org/10.2139/ssrn.2807257

Chenxu Li

Peking University - Guanghua School of Management ( email )

Guanghua School of Management
Beijing, 100871
China

Dachuan Chen (Contact Author)

Nankai University ( email )

Balitai, 94 weijing Rd
Tianjin, Tianjin 300071

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