This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with …

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

We propose a general, accurate and fast econometric approach for the estimation of affine option pricing models. The … algorithm belongs to the class of Laplace-Type Estimation (LTE) techniques and exploits Sequential Monte Carlo (SMC) methods. We … estimation by designing a density tempered SMC sampler. We test our algorithm on simulated data by tackling the challenging …

through one-step penalized least squares estimation with the Kullback-Leibler divergence as the penalty function. Asymptotic …