MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES |
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MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (English)
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16 June 2011
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Lévy processes
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affine jump-diffusions
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estimation
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Markov chain Monte Carlo
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variance gamma model
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option pricing
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