Finite Mixture Approximation of CARMA(p,q) Models

Autor:	Mercuri, Lorenzo, Perchiazzo, Andrea, Rroji, Edit
Rok vydání:	2020
Předmět:	Quantitative Finance - Computational Finance
Druh dokumentu:	Working Paper
Popis:	In this paper we show how to approximate the transition density of a CARMA(p, q) model driven by means of a time changed Brownian Motion based on the Gauss-Laguerre quadrature. We then provide an analytical formula for option prices when the log price follows a CARMA(p, q) model. We also propose an estimation procedure based on the approximated likelihood density. Comment: 30 Pages, 13 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2005.10130 Zobrazit plný text záznamu View this record from Arxiv