Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility from...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1156 https://ink.library.smu.edu.sg/context/soe_research/article/2155/viewcontent/euler_eis02.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |