Simulated Likelihood Approximations for Stochastic Volatility Models

DOI10.1111/1467-9469.00330zbMath1053.62090OpenAlexW2127942700MaRDI QIDQ4828198

Helle Sørensen

Publication date: 24 November 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00330

zbMATH Keywords

discrete-time observationsapproximate likelihoodstochastic volatility modelsCox-Ingersoll-Ross process

Mathematics Subject Classification ID

Related Items (6)

Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Statistical inference for discrete-time samples from affine stochastic delay differential equations ⋮ Prediction-based estimating functions: review and new developments ⋮ Application in stochastic volatility models of nonlinear regression with stochastic design ⋮ Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron ⋮ Independence, successive and conditional likelihood for time series of counts

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Prediction‐based estimating functions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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