Selland Kleppe, Tore; Yu, Jun; Skaug, H.J. - In: Maximum simulated likelihood methods and applications, (pp. 137-161). 2010
In this chapter we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach does not require observations on option prices, nor volatility. To integrate out latent...