论文标题
Carma（P，Q）模型的有限混合物近似
Finite Mixture Approximation of CARMA(p,q) Models
论文作者
论文摘要
在本文中，我们展示了如何近似Carma（P，Q）模型的过渡密度，该模型由时间驱动的，基于高斯 - 劳格尔正交的时间变化了布朗运动。然后，当日志价格遵循Carma（P，Q）模型时，我们为期权价格提供了分析公式。我们还提出了基于近似似然密度的估计程序。
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.
