Parametrix Approximation of Diffusion Transition Densities
Parametrix Approximation of Diffusion Transition Densities
复制标题
扩散跃迁密度的参数逼近
DOI：
10.1137/080742336
复制
发表时间：
2010
期刊：
影响因子：
--
通讯作者：
A. Pascucci
中科院分区：
文献类型：
--
作者：
Francesco Corielli;P. Foschi;A. Pascucci
一个新的解析近似工具，来自经典偏微分方程理论，介绍了为了建立近似的过渡扩散密度。该工具可用于金融衍生品的近似定价和套期保值，以及扩散参数的最大似然和矩估计方法。近似是统一的时间和空间变量。此外，易于计算的误差范围是在任何维度。
A new analytical approximation tool, derived from the classical PDE theory, is introduced in order to build approximate transition densities of diffusions. The tool is useful for approximate pricing and hedging of financial derivatives and for maximum likelihood and method of moments estimates of diffusion parameters. The approximation is uniform with respect to time and space variables. Moreover, easily computable error bounds are available in any dimension.