Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...

Many common option pricing problems require numerical solution techniques. One standard tool is to solve a finite difference approximation to the instrument's fundamental partial differential equation (PDE), with appropriate boundary conditions. The approximation will converge to the true...

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...