Simulated maximum likelihood estimation of continuous time stochastic volatility models

DOI10.1108/S0731-9053(2010)0000026009MaRDI QIDQ3295692zbMATH OpenOpenAlexFDO

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

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)

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(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
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Simulated Likelihood Approximations for 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
• scientific article; zbMATH DE number 5002274 (Why is no real title available?)

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