Parametric estimation for the standard and geometric telegraph process observed at discrete times
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Volume (Year): 11 (2008)
Issue (Month): 3 (October)
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- Iacus, Stefano Maria, 2001.
"Statistical analysis of the inhomogeneous telegrapher's process,"
Statistics & Probability Letters,
Elsevier, vol. 55(1), pages 83-88, November.
- 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.
- Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
- Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO.
- 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.
- 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.
- 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.
- 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 637-654, May-June. Full references (including those not matched with items on IDEAS)
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