1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.CP2021
SINH-acceleration for B-spline projection with Option Pricing Applications
Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby +1
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration tech…
stat.ME2021★ 1 cited
Maximum Likelihood Estimation of Diffusions by Continuous Time Markov Chain
J. L. Kirkby, Dang Nguyen, Duy Nguyen +1
In this paper we present a novel method for estimating the parameters of a parametric diffusion processes. Our approach is based on a closed-form Maximum Likelihood estimator for a…