Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English (US)
Title of host publication	Handbook of Modeling High-Frequency Data in Finance
Publisher	John Wiley and Sons
Pages	219-231
Number of pages	13
ISBN (Print)	9780470876886
DOIs	https://doi.org/10.1002/9781118204580.ch8
State	Published - Nov 7 2011
Externally published	Yes

Cite this

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title = "Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models",

keywords = "Hurst index, option prices, LMSV model calibration, LMSV, three parameter estimation",

author = "Alexandra Chronopoulou",

year = "2011",

month = nov,

day = "7",

doi = "10.1002/9781118204580.ch8",

language = "English (US)",

isbn = "9780470876886",

pages = "219--231",

booktitle = "Handbook of Modeling High-Frequency Data in Finance",

publisher = "John Wiley and Sons",

}

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KW - LMSV model calibration

KW - LMSV, three parameter estimation

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SN - 9780470876886

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EP - 231

BT - Handbook of Modeling High-Frequency Data in Finance

PB - John Wiley and Sons

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