Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
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Cited in
(10)- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
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- METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Parameter estimation and random number generation for student Lévy processes
- Method of moments estimation for the superposition of square-root diffusions
- Blackbox simulation optimization
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