An application of MCMC methods in stochastic volatility model

Reza Habibi

In this paper, using the MCMC method, we derive the conditional distribution of "mean variance" variable. This random variable appears in the option pricing problem under the stochastic volatility assumption. Two real data sets are considered. -- conditional distribution ; equity returns ; MCMC ; mean variance ; option pricing ; stochastic volatility ; S&P 500 ; total variation

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Year of publication:	2011
Authors:	Habibi, Reza
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Markov-Kette \| Markov chain \| Theorie \| Theory

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

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