Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods
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Publication:5391767
DOI10.1007/978-3-540-69995-8_38zbMath1209.91167OpenAlexW1586714118MaRDI QIDQ5391767
Markus Hahn, Jörn Sass, Wolfgang Putschögl
Publication date: 7 April 2011
Published in: Operations Research Proceedings (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-69995-8_38
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
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