A comparative simulation study for estimating diffusion coefficient

Mathematics and Computers in Simulation

Volumn 53, Issue 3, 2000, Pages 193-203

  Guerra, Maria Letizia ^a   Stefanini, Luciano ^a  

^a UNIVERSITY OF URBINO   (Italy)

Author keywords

Bisection method; Diffusion coefficient; Spline quadrature; Stochastic differential equation

Indexed keywords

EID: 0346736678     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0378-4754(00)00196-8     Document Type: Article

References (8)

1. M.L. Guerra, Stima Della Volatilità in Modelli Diffusivi, XX Convegno AMASES, Urbino, 1996.
2. M.L. Guerra, Numerical Simulations for Volatility Estimation: the case of an arch process in continuous time, in: Achim Sydow (Ed.), Computational Mathematics, Wissenschaft & Technick Verlag, Berlin, 1997, pp. 443-448.
3. M.L. Guerra, L. Stefanini, Diffusion coefficient estimation by using cubic spline quadrature, in: Proceedings of XXI Conference AMASES, Rome, 1997.
4. J. Jacod, Statistics of diffusion processes: some elements, Istituto per le applicazioni alia Matematica e all'Informatica, rapp. 94.17, CNR, Milan, 1991.
5. I. Karatzas, S.E. Shreve, Brownian Motion and Stochastic Calculus, Springer, Berlin, 1988.
6. P.E. Kloeden, E. Platen, Numerical Solution of SDE, Springer, Berlin, 1992.
7. G.N. Milstein, Numerical Integration of Stochastic Differential Equations, Kluwer Academic Publishers, Dordrecht, 1995.
8. W.H. Press, B.A Teukolsky, W.T. Vetterling, B.P. Flannery, Numerical Recipes, Cambridge University Press, Cambridge, 1992.