Learning for infinitely divisible GARCH models in option pricing

DOI10.1515/snde-2019-0088OpenAlexW3062971405MaRDI QIDQ2699614

Yanyan Li

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0088

zbMATH Keywords

option pricingMarkov chain Monte Carloparticle filteringsequential Bayesian learningLévy-GARCH models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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