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A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions：the Exponent Expansion
Closed-Form Approximation Likelihood Functions Discretely Sampled Diffusions Exponent Expansion
2010/4/27
In this paper we discuss a closed-form approximation of the likelihood functions of
an arbitrary diffusion process. The approximation is based on an exponential ansatz
of the transition probability ...