Simulated maximum likelihood estimation of continuous time stochastic volatility models

DOI10.1108/S0731-9053(2010)0000026009zbMATH Open1444.91211OpenAlexW1486035862MaRDI QIDQ3295692FDOQ3295692

Authors: Tore Selland Kleppe, Jun Yu, Hans J. Skaug 

Publication date: 10 July 2020

Published in: Maximum Simulated Likelihood Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=2155&context=soe_research

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• scientific article; zbMATH DE number 2065158

zbMATH Keywords

maximum likelihood estimationEuler-Maruyama schemeoption prices

Mathematics Subject Classification ID

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

Cited In (19)

• An empirical analysis of simulated maximum likelihood in the stochastic volatility model
• Simulation-based estimation methods for financial time series models
• Moment–Based Estimation of Stochastic Volatility Models
• Notes on financial econometrics
• Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• A flexible particle Markov chain Monte Carlo method
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulated Likelihood Approximations for Stochastic Volatility Models
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Simulated minimum Hellinger distance estimation of stochastic volatility models
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
• Maximum likelihood estimation of partially observed diffusion models
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
• Efficient importance sampling in mixture frameworks
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
• Title not available (Why is that?)

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