An Application of MCMC Methods in Stochastic Volatility Model

Reza Habibi

Journal of Applied Finance & Banking, 2011, vol. 1, issue 4, 12

Abstract: In this paper, using the MCMC method, we derive the conditional distribution of †mean variance†variable. This random variable appears in the option pricing problem under the stochastic volatility assumption. Two real data sets are considered.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JAFB%2fVol%201_4_12.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:apfiba:v:1:y:2011:i:4:f:1_4_12

Access Statistics for this article

More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().