Parametric estimation for the standard and geometric telegraph process observed at discrete times
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Bibliographic InfoArticle provided by Springer in its journal Statistical Inference for Stochastic Processes.
Volume (Year): 11 (2008)
Issue (Month): 3 (October)
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Web page: http://www.springerlink.com/link.asp?id=102997
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- Nikita Ratanov, 2007.
"A jump telegraph model for option pricing,"
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- 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.
- 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.
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- Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," BORRADORES DE INVESTIGACIÃN 003410, UNIVERSIDAD DEL ROSARIO.
- 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.
- 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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