Estimating the parameters of stochastic volatility models using option price data
A. S. Hurn and K. A. Lindsay; A. J. McClelland
| Year of publication: |
2015
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|---|---|
| Authors: | Hurn, Stan ; Lindsay, Kenneth A. ; McClelland, Andrew |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 4, p. 579-594
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| Subject: | Jumps | Maximum likelihood | Particle filter | Risk premia | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Schätzung | Estimation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011403243