The hierarchical-likelihood approach to autoregressive stochastic volatility models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.04.014 ◽

2011 ◽

Vol 55 (1) ◽

pp. 248-260 ◽

Author(s):

Woojoo Lee ◽

Johan Lim ◽

Youngjo Lee ◽

Joan del Castillo

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Hierarchical Likelihood ◽

Volatility Models ◽

Likelihood Approach

Download Full-text

A Maximum Likelihood Approach for Non-Gaussian Stochastic Volatility Models

Journal of Business and Economic Statistics ◽

10.1080/07350015.1998.10524767 ◽

1998 ◽

Vol 16 (3) ◽

pp. 284-291 ◽

Author(s):

Moshe Fridman ◽

Lawrence Harris

Keyword(s):

Maximum Likelihood ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Maximum Likelihood Approach ◽

Volatility Models ◽

Likelihood Approach ◽

Download Full-text

Maximum likelihood approach for several stochastic volatility models

Journal of Statistical Mechanics Theory and Experiment ◽

10.1088/1742-5468/2012/08/p08016 ◽

2012 ◽

Vol 2012 (08) ◽

pp. P08016

Author(s):

Jordi Camprodon ◽

Josep Perelló

Keyword(s):

Maximum Likelihood ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Maximum Likelihood Approach ◽

Volatility Models ◽

Likelihood Approach

Download Full-text

A Maximum Likelihood Approach for Non-Gaussian Stochastic Volatility Models

Journal of Business and Economic Statistics ◽

10.2307/1392504 ◽

1998 ◽

Vol 16 (3) ◽

pp. 284 ◽

Author(s):

Moshe Fridman ◽

Lawrence Harris

Keyword(s):

Maximum Likelihood ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Maximum Likelihood Approach ◽

Volatility Models ◽

Likelihood Approach ◽

Download Full-text

An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

Download Full-text

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

Download Full-text

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

Download Full-text

Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Author(s):

Xiuping Mao ◽

Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text