Saddlepoint approximations for continuous-time Markov processes

Journal of Econometrics

Volumn 134, Issue 2, 2006, Pages 507-551

  Aït Sahalia, Yacine ^a   Yu, Jialin ^b  

^a PRINCETON UNIVERSITY   (United States)

^b Columbia University ^*  (United States)

Author keywords

Characteristic function; Closed form approximation; Infinitesimal generator; Transition density

Indexed keywords

COMPUTATION THEORY; FINANCE; FUNCTIONS; LAPLACE TRANSFORMS; MARKOV PROCESSES; MATHEMATICAL MODELS;

CHARACTERISTIC FUNCTIONS; CLOSED-FORM APPROXIMATIONS; INFINITESIMAL GENERATORS; TRANSITION DENSITY;

APPROXIMATION THEORY;

EID: 33747883866     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.004     Document Type: Article

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