Telling from discrete data whether the underlying continuous-time model is a diffusion
By: Yacine Aït-Sahalia.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series -- no. 8504; Working paper series (National Bureau of Economic Research) -- wworking paper no. 8504.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 44
Subjects: Discrete-time systems.; Diffusion processes.; Options (Finance) -- Prices -- Econometric models.
Genres: Econometric models.
Notes: "October 2001."

JEL no. G12, C22, C52.

Includes bibliographical references (p. 26-27).

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Electronic version available via the Internet at the NBER World Wide Web site.