Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation (Q5220864)
From MaRDI portal
scientific article; zbMATH DE number 7183197
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation |
scientific article; zbMATH DE number 7183197 |
Statements
Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation (English)
0 references
27 March 2020
0 references
option price
0 references
Heston model
0 references
Bates model
0 references
Bayesian
0 references
Markov chain Monte Carlo
0 references
parameter estimation
0 references
empirical
0 references
S\&P 500 index futures
0 references
