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University of Illinois at Urbana-Champaign
Stochastic Volatility Models: Option Price Approximation, Asymptotics and Maximum Likelihood Estimation
Abstract
dc:descriptionThe second part of this thesis describes an approach that uses the above asymptotic expansion to invert, the option pricing function and extract the latent volatility, thereby overcoming one of the key difficulties in the estimation problem. The method is applied to estimate three popular stochastic volatility models, two of which have not previously been amenable to maximum likelihood estimation with option price data other than through the use of proxies for the latent volatility.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Mathematics
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2015
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Yang, Jian
- Contributors dc:contributor
-
- Sowers, Richard B.
- Pearson, Neil D.
Subjects
dc:subject × 1Rights
- Language dc:language
- eng
Identifiers
dc:identifier.*- Identifier
- (MiAaPQ)AAI3223755
- OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/86863