McMC estimation of multiscale stochastic volatility models with applications
Year of publication: |
2014
|
---|---|
Authors: | Han, Chuan-Hsiang ; Molina, German ; Fouque, Jean-Pierre |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 103.2014, C, p. 1-11
|
Publisher: |
Elsevier |
Subject: | Time scales in volatility | Markov chain Monte Carlo | Multifactor model | Implied volatility surface | Model calibration |
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