Bee, Marco; Taufer, Emanuele; Leonenko, Nikolai - Dipartimento di Informatica e Studi Aziendali, … - 2009
Continuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In...