Gustavo A. Schwenkler – Boston University
- Starts: 4:00 pm on Thursday, October 30, 2014
- Ends: 5:00 pm on Thursday, October 30, 2014
Title: Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions.
Abstract: This paper develops an unbiased Monte Carlo approximation to the transition density of a jump-diffusion process with state-dependent drift, volatility, jump intensity, and jump magnitude. The approximation is used to construct a likelihood estimator of the parameters of a jump-diffusion observed at fixed time intervals that need not be short. The estimator is asymptotically unbiased for any sample size. It has the same large-sample asymptotic properties as the true but uncomputable likelihood estimator. Numerical results illustrate its computational advantages.
- Location:
- MCS 148