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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222
Persistent link: https://www.econbiz.de/10003687162
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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Market attention and Bitcoin price modeling : theory, estimation and option pricing
Cretarola, Alessandra; Figà-Talamanca, Gianna; … - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 187-228
Persistent link: https://www.econbiz.de/10012285396
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A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
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Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model
Thul, Matthias; Zhang, Ally Quan - 2014 - Last Update: May 1, 2014
We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...
Persistent link: https://www.econbiz.de/10011875854
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The maximum likelihood estimation of security price volatility : Theory, evidence, and application to option pricing
Ball, Clifford A.; Torous, Walter N. - In: The journal of business : B 57 (1984) 1, pp. 97-112
Persistent link: https://www.econbiz.de/10001863140
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Confidence intervals for state price densities
Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916784
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Fiml Estimation of a Bivariate Probit Selection Rule - an Application on Firm Growth and Subsidisation
Reize, Frank - 2008
This study applies a full information maximum likelihood (FIML) estimator of the sample selection model with bivariate selection rule for the investigation of the impact of subsidised firm foundation from unemployment on employment growth of the firm. The empirical analysis is based on the ZEW...
Persistent link: https://www.econbiz.de/10014107022
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FIML estimation of a bivariate probit selection rule : an application on firm growth and subsidisation
Reize, Frank - 2001
This study applies a full information maximum likelihood (FIML) estimator of the sample selection model with bivariate selection rule for the investigation of the impact of subsidised firm foundation from unemployment on employment growth of the firm. The empirical analysis is based on the ZEW...
Persistent link: https://www.econbiz.de/10013428397
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FIML estimation of a bivariate probit selection rule : an application on firm growth and subsidisation
Reize, Frank - 2001
This study applies a full information maximum likelihood (FIML) estimator of the sample selection model with bivariate selection rule for the investigation of the impact of subsidised firm foundation from unemployment on employment growth of the firm. The empirical analysis is based on the ZEW...
Persistent link: https://www.econbiz.de/10011445928