Estimation of stochastic volatility and option prices

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This study suggests a method to estimate a stochastic volatility model incorporating both information on high/low prices and the leverage effect. The likelihood-based inference of Markov Chain Monte Carlo is conducted to estimate parameters and volatility. Simulation reveals that our method improves estimation and pricing options. We also find that the information on high/low prices is more likely to contribute to the improvement than the leverage effect.
Publisher
WILEY
Issue Date
2021-03
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.41, no.3, pp.349 - 360

ISSN
0270-7314
DOI
10.1002/fut.22168
URI
http://hdl.handle.net/10203/281204
Appears in Collection
MT-Journal Papers(저널논문)
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