Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (Q5292355): Difference between revisions
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Revision as of 19:40, 5 March 2024
scientific article; zbMATH DE number 5165868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter |
scientific article; zbMATH DE number 5165868 |
Statements
Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (English)
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20 June 2007
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Markov chain Monte Carlo
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multi-move sampler
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option pricing
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nonlinear state space model
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volatility risk
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Savage-Dickey density ratio
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