Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods

Markus Hahn (), Wolfgang Putschögl () and Jörn Sass ()
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Markus Hahn: Austrian Academy of Sciences
Wolfgang Putschögl: Austrian Academy of Sciences
Jörn Sass: Austrian Academy of Sciences

A chapter in Operations Research Proceedings 2006, 2007, pp 227-232 from Springer

Abstract: Abstract We consider a model for a financial market where the asset prices satisfy a stochastic differential equation. For the volatility no new source of randomness is introduced, but the volatility at each time depends deterministically on all previous price fluctuations. Such non-constant volatility models preserve the completeness of the market while they allow for many attractive features.

Keywords: Hide Markov Model; Markov Chain Monte Carlo; Markov Chain Monte Carlo Method; Stochastic Volatility Model; Stock Model (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-540-69995-8_38

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DOI: 10.1007/978-3-540-69995-8_38

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