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math.ST2025
Monte Carlo on a single sample
Nils Detering, Nicole Hufnagel, Paul Krühner
In this paper, we consider a Monte Carlo simulation method (MinMC) that approximates prices and risk measures for a range of model parameters at once. The simulation method tha…
math.ST2021
Estimation of ergodic square-root diffusion under high-frequency sampling
Yuzhong Cheng, Nicole Hufnagel, Hiroki Masuda
Gaussian quasi-likelihood estimation of the parameter in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbe…