Gibbs-sampling method is exploited to provide a unified, practical likelihood based framework. We use Gibbs sampling to estimate the posterior distribution of parameter in Merton’s jump diffusion model. This method is suitable for the derivatives market with low liquidity. Because the liquidity is low, the price formed by demand and supply is biased. Thus, it is desirable to estimate in this way the market of highly liquid underlying assets.
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제목 | 영문발표 20170810 Calibration of Merton's jump diffusion model using Gibbs sampling 윤인한 |
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20170810발표_윤인한.pptx
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