Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
DOI10.1080/07474930701220584zbMath1112.62118OpenAlexW2125179223MaRDI QIDQ5292355
Catherine S. Forbes, Gael M. Martin, J. D. Wright
Publication date: 20 June 2007
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930701220584
option pricingMarkov chain Monte Carlononlinear state space modelSavage-Dickey density ratiomulti-move samplervolatility risk
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
Related Items (3)
Cites Work
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