Maximum Likelihood Estimation of Stochastic Volatility Models
收藏NBER2004-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/w10579
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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
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美国国家经济研究局创建时间：
2004-06-01
