Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (Q5245899)

From MaRDI portal
Revision as of 22:47, 9 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article; zbMATH DE number 6425907
Language Label Description Also known as
English
Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models
scientific article; zbMATH DE number 6425907

    Statements

    Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (English)
    0 references
    16 April 2015
    0 references
    maximum likelihood
    0 references
    OU processes
    0 references
    stochastic volatility
    0 references
    Lévy processes
    0 references
    simulation optimization
    0 references
    sequential Monte Carlo
    0 references

    Identifiers