Mcmc Theory And Its Application In The Pricing Of Financial Assets

Most of the financial asset pricing models are mathematical expressions with various parameters , so in order to make it more accurate in market inspection the relevant scholars have put forward many methods to evaluate these parameters in the models. With the development of science and technology, the computer technique has provided the very condition for accurate inspections with financial asset pricing models. And the combination of computer technique, mathematical tools and the financial theories gave birth to the financial engineering. Based on the financial engineering theory and with the method of MCMC, this paper discussed the necessary steps in parameter evaluation of some continuous-time financial asset pricing models. In addition to this, the paper evaluated the parameters in SV models with the data of SSE. Though there were errors from the figures, the result of the evaluation was comparatively accurate.