Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters

DOI10.1080/10618600.2020.1840995MaRDI QIDQ5066397zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 1666088 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• A survey of sequential Monte Carlo methods for economics and finance
• Maximum likelihood estimation of a latent variable time-series model
• Multivariate Stochastic Variance Models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Option pricing when underlying stock returns are discontinuous
• Particle filters for continuous likelihood evaluation and maximisation
• Post-'87 crash fears in the S\&P 500 futures option market
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
• Statistical methods for financial engineering
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility clustering in financial markets: empirical facts and agent-based models
• Volatility jumps

Cited in

(1)

• Option pricing under stochastic volatility models with latent volatility

This page was built for publication: Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5066397)