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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

The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015197067

Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective...

Persistent link: https://www.econbiz.de/10010206934

Recovering the real-world density and liquidity premia from option data

Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344223

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

Marginal consistent dependence modelling using weak subordination for Brownian motions

Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925

Persistent link: https://www.econbiz.de/10012262863

Mean-reverting no-arbitrage additive models for forward curves in energy markets

Latini, Luca; Piccirilli, Marco; Vargiolu, Tiziano - In: Energy economics 79 (2019), pp. 157-170

Persistent link: https://www.econbiz.de/10012172269

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Persistent link: https://www.econbiz.de/10014281687

Estimating volatility in the Merton model : the KMV estimate is not maximum likelihood

Christoffersen, Benjamin; Lando, David; Nielsen, Søren … - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1214-1230

Persistent link: https://www.econbiz.de/10013463403

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