McMC estimation of multiscale stochastic volatility models with applications (Q2229879)
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scientific article; zbMATH DE number 7312623
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| English | McMC estimation of multiscale stochastic volatility models with applications |
scientific article; zbMATH DE number 7312623 |
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McMC estimation of multiscale stochastic volatility models with applications (English)
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18 February 2021
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time scales in volatility
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Markov chain Monte Carlo
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multifactor model
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implied volatility surface
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model calibration
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0.801203727722168
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0.7901948094367981
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0.7873694896697998
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0.783641517162323
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