Estimation and pricing under long-memory stochastic volatility (Q470523)
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scientific article; zbMATH DE number 6368841
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and pricing under long-memory stochastic volatility |
scientific article; zbMATH DE number 6368841 |
Statements
Estimation and pricing under long-memory stochastic volatility (English)
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12 November 2014
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option pricing
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stochastic volatility
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long memory
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particle filtering
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estimation
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multinomial tree
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0.9461297
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0.93554664
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0.93552834
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0.9240794
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