Sequential Monte Carlo for fractional stochastic volatility models

DOI10.1080/14697688.2017.1327717zbMATH Open1400.91652arXiv1508.02651OpenAlexW2964261112MaRDI QIDQ4554435FDOQ4554435

Authors: Alexandra Chronopoulou, Konstantinos Spiliopoulos 

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Abstract: In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that is applicable to both long memory and antipersistent processes in order to estimate the volatility as well as the unknown parameters of the model. We establish a central limit theorem for the state and parameter filters and we study asymptotic properties (consistency and asymptotic normality) for the filter. We illustrate our results with a simulation study and we apply our method to estimating the volatility and the parameters of a long-range dependent model for S&P 500 data.

Full work available at URL: https://arxiv.org/abs/1508.02651

Recommendations

• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• Estimation of the long memory parameter in stochastic volatility models by quadratic variations
• Markov chain Monte Carlo methods for Bayesian long memory stochastic volatility models
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• scientific article; zbMATH DE number 5769397

zbMATH Keywords

parameter estimationparticle filteringlong memory stochastic volatilityrough stochastic volatility

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Title not available (Why is that?)
• Sequential Monte Carlo Methods in Practice
• Asymptotic Statistics
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
• Title not available (Why is that?)
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• The detection and estimation of long memory in stochastic volatility
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
• Arbitrage with Fractional Brownian Motion
• Long memory in continuous-time stochastic volatility models
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Affine fractional stochastic volatility models
• Econometric estimation in long-range dependent volatility models: theory and practice
• Central limit theorem for nonlinear filtering and interacting particle systems
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• Estimation and pricing under long-memory stochastic volatility
• Correction to Black-Scholes formula due to fractional stochastic volatility
• Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion

Cited In (2)

• Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
• Delta-hedging in fractional volatility models

Uses Software

• longmemo

This page was built for publication: Sequential Monte Carlo for fractional stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554435)