Estimation of market prices of risks in the G.A.R.C.H. diffusion model
Year of publication: |
2018
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Authors: | Wu, Xinyu ; Zhou, Hailin ; Wang, Shouyang |
Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 31.2018, 1,1, p. 15-36
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Subject: | Market prices of risks | G.A.R.C.h. diffusion model | option pricing | efficient importance sampling | maximum likelihood | particle filter | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risiko | Risk |
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