Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

Martingale Limit Theory and its Application.

R. M. Loynes, Peter Hall, C. C. Heyde · Journal of the Royal Statistical Society Series A (General) · 1984 · 2.8K citations · Full text

Engineering, Economics, Mathematics +12

Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

Louis O. Scott · Mathematical Finance · 1997 · 402 citations

Business, Economics, Finance +17

Estimation of an Ergodic Diffusion from Discrete Observations

Mathieu Kessler · Scandinavian Journal of Statistics · 1997 · 382 citations

Engineering, Mathematics, Dynamical Systems +16

Martingale Estimation Functions for Discretely Observed Diffusion Processes

Bo Martin Bibby, Michael Sørensen, Michael Sørensen · Bernoulli · 1995 · 353 citations

Natural Sciences, Mathematics, Probability Theory +16