Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
In this chapter 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 does not require observations on option prices, nor volatility. To integrate out latent volatility...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1267 https://ink.library.smu.edu.sg/context/soe_research/article/2266/viewcontent/Simulated_Maximum_Likelihood_Estimation_of_Continuous_Time_Stochastic_Volatility_Models_2009.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |