Abstract
We propose a simple, general and computationally efficient algorithm for maximum likelihood estima-
tion (MLE) of parameters in diffusion and jump-diffusion processes. This is conducted within a Monte Carlo
EM-algorithm, where the smoothing distribution is computed using resampling. The results are encouraging as
we can approximate the MLE well for the models studied when using simulated data. We also obtain reasonable
estimates, compared to other papers, when fitting the Heston and Bates model to S&P 500 and VIX data.
tion (MLE) of parameters in diffusion and jump-diffusion processes. This is conducted within a Monte Carlo
EM-algorithm, where the smoothing distribution is computed using resampling. The results are encouraging as
we can approximate the MLE well for the models studied when using simulated data. We also obtain reasonable
estimates, compared to other papers, when fitting the Heston and Bates model to S&P 500 and VIX data.
Original language | English |
---|---|
Title of host publication | Recent Researches in Automatic Control and Electronics, Proceedings of the 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) |
Editors | Vincenzo Nola, Michel Kadoch, Alexander Zemilak |
Publisher | WSEAS Press |
Pages | 110-115 |
Number of pages | 6 |
ISBN (Print) | 978-1-61804-080-0 |
Publication status | Published - 2012 |
Event | 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) - Saint Malo & Mont Saint-Michel, Frankrike Duration: 2012 Apr 2 → 2012 Apr 4 |
Conference
Conference | 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) |
---|---|
Period | 2012/04/02 → 2012/04/04 |
Bibliographical note
The 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) was held in Saint Malo & Mont Saint-Michel, France, April 2-4, 2012 in conjunction with:The 11th International Conference on Microelectronics,
Nanoelectronics, Optoelectronics (MINO '12);
the 11th International Conference on Telecommunications and
Informatics (TELE-INFO '12);
the 11th International Conference on Signal Processing (SIP '12);
the 2nd International Conference on Environment, Economics,
Energy, Devices, Systems, Communications, Computers,
Mathematics (EDSCM '13)
Subject classification (UKÄ)
- Probability Theory and Statistics
Free keywords
- Jump-diffusions
- Maximum Likelihood estimation
- MCEM-algorithm
- Resampling
- Heston model
- Bates model