Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation (Q5220864)
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scientific article; zbMATH DE number 7183197
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| English | Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation |
scientific article; zbMATH DE number 7183197 |
Statements
Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation (English)
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27 March 2020
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option price
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Heston model
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Bates model
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Bayesian
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Markov chain Monte Carlo
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parameter estimation
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empirical
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S\&P 500 index futures
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0.8914872
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0.89140856
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0.88940406
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0.8822869
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0.8813796
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0.8789197
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0.8782806
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