Essays on practical issues in asset pricing : estimation and simulation

0044 English OPEN
Wang, Yan;
  • Subject: HG

This thesis studies several practical issues in asset pricing, including MCMC estimation of time-changed Lévy processes, calibration techniques for stochastic volatility models, and a sampling scheme for the SABR model. First, a MCMC estimation approach is developed to ... View more
  • References (1)

    Cox, J. C. (1975). Note on option pricing I: constant elasticity of variance diffusions. Unpublished draft, Stanford University. 2

  • Metrics
Share - Bookmark