Stochastic Volatility Estimation Using Markov Chain Simulation

DOI10.1007/978-3-540-69179-2_12zbMath1307.91138OpenAlexW182491010MaRDI QIDQ3542261

Nikolaus Hautsch, Yanguoyi Ou

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69179-2_12

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Stochastic models in economics (91B70)

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