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Asymptotic Expansion for Small Diffusions Applied to Option Pricing

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 7 (2004) 3, pp. 189-223

Persistent link: https://www.econbiz.de/10005184579

Third-order asymptotic expansion of M-estimators for diffusion processes

Sakamoto, Yuji; Yoshida, Nakahiro - In: Annals of the Institute of Statistical Mathematics 61 (2009) 3, pp. 629-661

Persistent link: https://www.econbiz.de/10005029247

Asymptotic expansion formulas for functionals of ε-Markov processes with a mixing property

Sakamoto, Yuji; Yoshida, Nakahiro - In: Annals of the Institute of Statistical Mathematics 56 (2004) 3, pp. 545-597

Persistent link: https://www.econbiz.de/10005616442

Martingale expansion in mixed normal limit

Yoshida, Nakahiro - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 887-933

The quasi-likelihood estimator and the Bayesian type estimator of the volatility parameter are in general asymptotically mixed normal. In case the limit is normal, the asymptotic expansion was derived by Yoshida [28] as an application of the martingale expansion. The expansion for the...

Persistent link: https://www.econbiz.de/10011065030