Estimation of partial differential equations with applications in finance

Journal of Econometrics

Volumn 144, Issue 2, 2008, Pages 392-408

  Kristensen, Dennis ^a,b  

^a Columbia University ^*  (United States)

^b funded by the Danish National Research Foundation   (United States)

Author keywords

Derivative pricing; Diffusion; Estimation; Nonparametric; partial differential equations

Indexed keywords

AIRCRAFT ENGINES; ASYMPTOTIC ANALYSIS; BESSEL FUNCTIONS; COMPUTATIONAL FLUID DYNAMICS; DERIVATIVES; DIFFERENCE EQUATIONS; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); DIFFUSION; DISTRIBUTION FUNCTIONS; ESTIMATION; EXTRAPOLATION; FEES AND CHARGES; FINANCE; IMAGE SEGMENTATION; KETONES; LINEAR EQUATIONS; MATHEMATICAL MODELS; MATHEMATICAL MORPHOLOGY; NUMERICAL METHODS; SEMICONDUCTOR DOPING; SOLUTIONS; STANDARDS; TRANSPORTATION CHARGES;

(E ,3E) PROCESS; (I ,J) CONDITIONS; ASSET PRICING; ASYMPTOTIC DISTRIBUTIONS; CONFIDENCE BANDS; DIFFUSION MODELING; ELSEVIER (CO); FEYNMAN-KAC REPRESENTATION; GENERAL (CO); HISTORICAL DATA; NON-PARAMETRIC; PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS; PARTIAL DIFFERENTIAL; STANDARD ERRORS (SE);

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 45849091839     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.04.004     Document Type: Article

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