A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)
Jiří Witzany, Milan Fičura
| Year of publication: |
2023
|
|---|---|
| Authors: | Witzany, Jiří ; Fičura, Milan |
| Publisher: |
Prague : Faculty of Finance and Accounting, University of Economics |
| Subject: | Heston model | parameter estimation | neural networks | MCMC | Neuronale Netze | Neural networks | Künstliche Intelligenz | Artificial intelligence | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain |