1932

Abstract

This article surveys recent developments to estimate and test continuous-time models in finance using discrete observations on the underlying asset price or derivative securities' prices. Both parametric and nonparametric methods are described. All these methods share a common focus on the transition density as the central object for inference and testing of the model.

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/content/journals/10.1146/annurev.financial.050808.114424
2009-10-01
2024-06-13
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  • Article Type: Review Article
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