Simulated maximum likelihood estimation of continuous time stochastic volatility models
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Publication:3295692
DOI10.1108/S0731-9053(2010)0000026009zbMath1444.91211OpenAlexW1486035862MaRDI QIDQ3295692
Jun Yu, Tore Selland Kleppe, Hans Julius 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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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