Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models (Q1023616)
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scientific article; zbMATH DE number 5564676
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models |
scientific article; zbMATH DE number 5564676 |
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Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models (English)
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12 June 2009
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Lévy process
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stochastic volatility
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particle filter
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Kalman filter
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