Comparing stochastic volatility models through Monte Carlo simulations.

Davide Raggi Silvano Bordignon

Published in: Comput. Stat. Data Anal. (2006)

Keyphrases

monte carlo simulation
monte carlo
markov chain
probabilistic model
experimental data
prior knowledge
long term
theoretical analysis
statistical models
complex systems
computational models
exchange rate
stochastic model
stochastic processes
stochastic process