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Parametric estimation for the standard and geometric telegraph process observed at discrete times

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  • Alessandro Gregorio

    ()

  • Stefano Iacus

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11203-007-9017-9
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Bibliographic Info

Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

Volume (Year): 11 (2008)
Issue (Month): 3 (October)
Pages: 249-263

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Handle: RePEc:spr:sistpr:v:11:y:2008:i:3:p:249-263

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Web page: http://www.springerlink.com/link.asp?id=102997

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Related research

Keywords: Telegraph process; Discretely observed process; Inference for stochastic processes; Primary 60K99; Secondary 62M99;

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References

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  1. Stefano Iacus, 2001. "Statistical analysis of the inhomogeneous telegrapher's process," Departmental Working Papers 2001-02, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  3. Stefano Iacus & Nakahiro Yoshida, 2006. "Estimation for the discretely observed telegraph process," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1045, Universitá degli Studi di Milano.
  4. Mathieu Kessler, 2000. "Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(1), pages 65-82.
  5. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO.
  6. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," BORRADORES DE INVESTIGACIÓN 003410, UNIVERSIDAD DEL ROSARIO.
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Cited by:
  1. De Gregorio, Alessandro, 2009. "Parametric estimation for planar random flights," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2193-2199, October.

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