DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk Joon | ko |
dc.contributor.author | Hyun, Jung-Soon | ko |
dc.contributor.author | Sung, Woon Jun | ko |
dc.date.accessioned | 2021-03-04T06:50:07Z | - |
dc.date.available | 2021-03-04T06:50:07Z | - |
dc.date.created | 2020-11-30 | - |
dc.date.created | 2020-11-30 | - |
dc.date.issued | 2021-03 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.41, no.3, pp.349 - 360 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/281204 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | Estimation of stochastic volatility and option prices | - |
dc.type | Article | - |
dc.identifier.wosid | 000587724400001 | - |
dc.identifier.scopusid | 2-s2.0-85096651785 | - |
dc.type.rims | ART | - |
dc.citation.volume | 41 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 349 | - |
dc.citation.endingpage | 360 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.22168 | - |
dc.contributor.localauthor | Byun, Suk Joon | - |
dc.contributor.localauthor | Hyun, Jung-Soon | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Bayes rule | - |
dc.subject.keywordAuthor | high and low prices | - |
dc.subject.keywordAuthor | leverage effect | - |
dc.subject.keywordAuthor | MCMC | - |
dc.subject.keywordAuthor | stochastic volatility | - |
dc.subject.keywordPlus | RANGE-BASED ESTIMATION | - |
dc.subject.keywordPlus | BAYESIAN-ANALYSIS | - |
dc.subject.keywordPlus | JUMP | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.