Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method

Y K Tse, Xibin Zhang, Jun Yu

Research output: Contribution to journal › Article › Research › peer-review

15 Citations (Scopus)

Access to Document

@article{b820ca7b171f4e12854ea028a6ec2e7d,

title = "Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method",

author = "Tse, \{Y K\} and Xibin Zhang and Jun Yu",

year = "2004",

doi = "10.1088/1469-7688/4/2/005",

language = "English",

volume = "4",

pages = "158 -- 169",

journal = "Quantitative Finance",

issn = "1469-7696",

publisher = "Taylor \& Francis",

number = "2",

}

TY - JOUR

T1 - Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method

AU - Tse, Y K

AU - Zhang, Xibin

AU - Yu, Jun

PY - 2004

Y1 - 2004

UR - https://www.scopus.com/pages/publications/2442556119

U2 - 10.1088/1469-7688/4/2/005

DO - 10.1088/1469-7688/4/2/005

M3 - Article

SN - 1469-7696

VL - 4

SP - 158

EP - 169

JO - Quantitative Finance

JF - Quantitative Finance

IS - 2

ER -