Maximum Likelihood Estimation of Stochastic Volatility Models
收藏NBER2004-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w10579
下载链接
链接失效反馈官方服务：
资源简介：
We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood
提供机构：
美国国家经济研究局
创建时间：
2004-06-01
