Estimating the parameters of stochastic volatility models using option price data
A. S. Hurn; K. A. Lindsay; A. J. McClelland
| Year of publication: |
2012
|
|---|---|
| Authors: | Hurn, Stan ; Lindsay, K. A. ; McClelland, Andrew |
| Publisher: |
[S.l.] : National Centre for Econometric Research |
| Subject: | S&P 500 Index | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | Welt | World |
| Extent: | Online-Ressource (36 S.) |
|---|---|
| Series: | NCER working paper series. - [S.l.] : [s.n.], ZDB-ID 2451015-4. - Vol. 87 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009665916