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

discrete nonlinear filteringmaximum likelihood estimationparticle filtersequential importance resamplingstochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility clustering in financial markets: empirical facts and agent-based models
• Volatility jumps

Cited in

(3)

• Option pricing under stochastic volatility models with latent volatility
• A simulation and empirical study of the maximum likelihood estimator for stochastic volatility jump-diffusion models
• Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation

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