Parametric estimation of stochastic volatility models with generalized moment method

DOI10.3969/J.ISSN.1005-3085.2019.06.001MaRDI QIDQ3306335zbMATH OpenFDO

Authors Xinjun Zhang, Huazhu Chen, Liang Jiang

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2019.06.001

zbMATH Keywords

European call optiongeneralized moment methodMonte Carlo methodstochastic volatility model

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(7)

• Algorithmic estimation of risk factors in financial markets with stochastic drift
• Computational analysis of the behavior of stochastic volatility models with financial applications
• Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
• Empirical research on stochastic volatility model with cross-data
• scientific article; zbMATH DE number 5669994 (Why is no real title available?)
• Study on the sequence volatility of financial assets based on Markov chain Monte Carlo simulation
• Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions

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