文章基本信息

标题：An Application of MCMC Methods in Stochastic Volatility Model
作者：Reza Habibi
期刊名称：Journal of Applied Finance and Banking
印刷版ISSN：1792-6580
电子版ISSN：1792-6599
出版年度：2011
卷号：1
期号：4
出版社：Scienpress Ltd
摘要：In this paper, using the MCMC method, we derive the conditional distribution of ”mean variance” variable. This random variable appears in the option pricing problem under the stochastic volatility assumption. Two real data sets are considered.