Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (Q5245899)
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scientific article; zbMATH DE number 6425907
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models |
scientific article; zbMATH DE number 6425907 |
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Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (English)
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16 April 2015
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maximum likelihood
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OU processes
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stochastic volatility
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Lévy processes
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simulation optimization
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sequential Monte Carlo
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