Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters

DOI10.1080/10618600.2020.1840995OpenAlexW2954648680MaRDI QIDQ5066397FDOQ5066397

Authors: Jean-François Bégin, Mathieu Boudreault 

Publication date: 29 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.04322

zbMATH Keywords

maximum likelihood estimationparticle filterstochastic volatilitydiscrete nonlinear filteringsequential importance resampling

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
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Cited In (1)

• Option pricing under stochastic volatility models with latent volatility

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