skip to content
Maximum likelihood estimation of stochastic volatility models Preview this item
ClosePreview this item
Checking...

Maximum likelihood estimation of stochastic volatility models

Author: Yacine Aït-Sahalia; Robert Kimmel; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2004.
Series: Working paper series (National Bureau of Economic Research), no. 10579.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
"We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied volatility of a short dated at-the-money option. We find  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yacine Aït-Sahalia; Robert Kimmel; National Bureau of Economic Research.
OCLC Number: 56547228
Notes: "June 2004."
Description: 1 online resource (42 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 10579.
Responsibility: Yacine Ait-Sahalia, Robert Kimmel.

Abstract:

"We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We apply this method to market prices of index options for several stochastic volatility models, and compare the characteristics of the estimated models. The evidence for a general CEV model, which nests both the affine model of Heston (1993) and a GARCH model, suggests that the elasticity of variance of volatility lies between that assumed by the two nested models"--National Bureau of Economic Research web site.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/56547228> # Maximum likelihood estimation of stochastic volatility models
    a schema:Book, schema:CreativeWork, schema:MediaObject ;
   library:oclcnum "56547228" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/15323084#Place/cambridge_mass> ; # Cambridge, Mass.
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/15323084#Topic/options_finance_econometric_models> ; # Options (Finance)--Econometric models
   schema:about <http://id.worldcat.org/fast/1133519> ; # Stochastic processes
   schema:about <http://id.worldcat.org/fast/1046897> ; # Options (Finance)--Econometric models
   schema:bookFormat schema:EBook ;
   schema:contributor <http://viaf.org/viaf/45379862> ; # Robert L. Kimmel
   schema:contributor <http://experiment.worldcat.org/entity/work/data/15323084#Organization/national_bureau_of_economic_research> ; # National Bureau of Economic Research.
   schema:copyrightYear "2004" ;
   schema:creator <http://viaf.org/viaf/65067891> ; # Yacine Aït-Sahalia
   schema:datePublished "2004" ;
   schema:description ""We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We apply this method to market prices of index options for several stochastic volatility models, and compare the characteristics of the estimated models. The evidence for a general CEV model, which nests both the affine model of Heston (1993) and a GARCH model, suggests that the elasticity of variance of volatility lies between that assumed by the two nested models"--National Bureau of Economic Research web site."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/15323084> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/15323084#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/15323084#Series/nber_working_paper_series> ; # NBER working paper series ;
   schema:name "Maximum likelihood estimation of stochastic volatility models"@en ;
   schema:productID "56547228" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/56547228#PublicationEvent/cambridge_mass_national_bureau_of_economic_research_2004> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/15323084#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
   schema:url <http://papers.nber.org/papers/w10579> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/56547228> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/15323084#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
   schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/15323084#Organization/national_bureau_of_economic_research> # National Bureau of Economic Research.
    a schema:Organization ;
   schema:name "National Bureau of Economic Research." ;
    .

<http://experiment.worldcat.org/entity/work/data/15323084#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
   schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/15323084#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/56547228> ; # Maximum likelihood estimation of stochastic volatility models
   schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/15323084#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/56547228> ; # Maximum likelihood estimation of stochastic volatility models
   schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://id.worldcat.org/fast/1046897> # Options (Finance)--Econometric models
    a schema:Intangible ;
   schema:name "Options (Finance)--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/1133519> # Stochastic processes
    a schema:Intangible ;
   schema:name "Stochastic processes"@en ;
    .

<http://viaf.org/viaf/45379862> # Robert L. Kimmel
    a schema:Person ;
   schema:familyName "Kimmel" ;
   schema:givenName "Robert L." ;
   schema:givenName "Robert" ;
   schema:name "Robert L. Kimmel" ;
    .

<http://viaf.org/viaf/65067891> # Yacine Aït-Sahalia
    a schema:Person ;
   schema:familyName "Aït-Sahalia" ;
   schema:givenName "Yacine" ;
   schema:name "Yacine Aït-Sahalia" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.