Bayesian estimation of the stochastic volatility model with double exponential jumps

DOI10.1007/s11147-020-09173-1zbMath1470.91261OpenAlexW3119499980WikidataQ115602861 ScholiaQ115602861MaRDI QIDQ2047037

Jin-Zhi Li

Publication date: 19 August 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-020-09173-1

zbMATH Keywords

stochastic volatilityMCMCstock indexesdouble exponential jumps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial markets (91G15)

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Exact solutions for bond and option prices with systematic jump risk
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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