Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation

DOI10.1080/00949655.2014.926899zbMath1457.62329OpenAlexW2081884994MaRDI QIDQ5220864

William Gamber, Jeffrey Liebner, William Dearden, Joshua Cape, Qin Lu, Unnamed Author

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.926899

zbMATH Keywords

parameter estimationMarkov chain Monte Carlooption priceBayesianHeston modelBates modelempiricalS\&P 500 index futures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Modelling joint behaviour of asset prices using stochastic correlation

Cites Work

• Unnamed Item
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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