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Description
Title: | Stochastic Volatility Models: Option Price Approximation, Asymptotics and Maximum Likelihood Estimation |
Author(s): | Yang, Jian |
Doctoral Committee Chair(s): | Sowers, Richard B.; Pearson, Neil D. |
Department / Program: | Mathematics |
Discipline: | Mathematics |
Degree Granting Institution: | University of Illinois at Urbana-Champaign |
Degree: | Ph.D. |
Genre: | Dissertation |
Subject(s): | Economics, Finance |
Abstract: | The 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. |
Issue Date: | 2006 |
Type: | Text |
Language: | English |
Description: | 95 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2006. |
URI: | http://hdl.handle.net/2142/86863 |
Other Identifier(s): | (MiAaPQ)AAI3223755 |
Date Available in IDEALS: | 2015-09-28 |
Date Deposited: | 2006 |
This item appears in the following Collection(s)
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Dissertations and Theses - Mathematics
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Graduate Dissertations and Theses at Illinois
Graduate Theses and Dissertations at Illinois