原创：基于随机波动率假设的权证定价理论评述 - 管理论文发表 - xzbu.com 中国论文网 关键词：SV模型；权证定价；估计方法 [gap=747]Key Words：SV models，warrant pricing，estimating methods
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数假设的放松,产生确定性波动率模型(Deterministic Volatility Model)、随机波动率模型(Stochastic Volatility Model, SV Model)等；对于股价对数正态分布假设的改进,产生跳跃扩散过程、GARCH过程及Levy过程等分布下的期权定价
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asymmetric sv model 不对称sv模型
long memory sv model 长记忆sv模型
stochastic volatility sv model 随机波动模型
the sv model 随机波动模型
basic sv model 基本sv模型
vector SV model 向量随机波动模型
Extended SV Model 扩展随机波动模型
The Stochastic Volatility models (SV model) is a kind of time series model which can reflect fluctuation that can not be observed directly.
随机波动(SV)模型是一种重要的具有隐性波动的时间序列模型。
In this article, three estimation methods, GMM, MCMC and EMM are studied. GMM is one of the earliest methods used in SV model and its character is simple;
本文重点讨论了广义矩估计法、马尔可夫链蒙特卡罗方法和有效矩估计法这三种各具特点的随机波动模型的参数估计方法。
The characteristic functions of basic SV model and SV model with leverage effect are derived, an estimation (method) of SV models via empirical characteristic function is discussed in this paper.
计算基本SV模型和杠杆效应SV模型的联合特征函数，借助经验特征函数方法估计这两个SV模型。
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