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• W3123809247 abstract "Abstract Asset price bubbles can arise unintentionally when one uses continuous-time diffusion processes to model financial quantities. We propose a flexible damped diffusion framework that is able to break many types of bubbles and preserve the martingale pricing approach. Damping can be done on either the diffusion or drift function. Oftentimes, certain solutions to the valuation PDE can be ruled out by requiring the solution to be a limit of martingale prices for damped diffusion models. Monte Carlo study shows that with finite time-series length, maximum likelihood estimation often fails to detect the damped diffusion function while fabricates nonlinear drift function. An alternative method based on Ait-Sahalia's specification test on parametric models is proposed." @default.
• W3123809247 created "2021-02-01" @default.
• W3123809247 creator A5003894776 @default.
• W3123809247 date "2010-02-01" @default.
• W3123809247 modified "2023-09-27" @default.
• W3123809247 title "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation" @default.
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• W3123809247 doi "https://doi.org/10.1016/j.jedc.2009.08.001" @default.
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