Bayesian Estimation for Markov Modulated Asset Prices
نویسندگان
چکیده
A Stochastic Differential Equation (SDE) appearing in mathematical finance is considered in random environment by assuming that its two parameters are switched by an unobserved continuous-time Markov chain whose states represent the states of the market environment. A Dirichlet process is placed as a prior on the space of the sample paths ∗corresponding author:[email protected] †[email protected] ‡Research supported in part by UGC SAP IV, [email protected]. 1 ha l-0 04 64 38 6, v er si on 1 26 M ar 2 01 0
منابع مشابه
DEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
In this paper we apply Bayesian methods to estimate a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Implicit posterior densities for the parameters of the volatility model, for the latent volatilities and for the market price of volatility risk are produced. The method involves augmenting the data generating process associated wit...
متن کاملDEPARTMENT OF ECONOMETRICS AND BUSINESS STATISTICS Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a hybrid Markov Chain Monte Carlo sampling algorithm. Candidate draws for the unobserved volatilities are obtained ...
متن کاملBayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a hybrid Markov Chain Monte Carlo sampling algorithm. Candidate draws for the unobserved volatilities are obtained ...
متن کاملProperties of Equilibrium Asset Prices Under Alternative Learning Schemes
This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly. Learning causes the discount factor and risk-neutral probability measure to become path-dependent and introduces serial correlation a...
متن کاملBayesian estimation of the fractional Ornstein- Uhlenbeck instantaneous rate of asset return process: Evidence from high-frequency stock price data
04 July 2016 Abstract Using recent developments in econometrics and computational statistics we consider the estimation of the instantaneous rate of asset return process when the underlying Data Generating Mechanism (DGM) is an Ornstein-Uhlenbeck process, driven by fractional noise, and sampled at fixed intervals of length h. To address the problem we adopt throughout the paper an exact discret...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010