Filtering and identification of Heston's stochastic volatility model and its market risk (Q959679)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Filtering and identification of Heston's stochastic volatility model and its market risk |
scientific article; zbMATH DE number 5382177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering and identification of Heston's stochastic volatility model and its market risk |
scientific article; zbMATH DE number 5382177 |
Statements
Filtering and identification of Heston's stochastic volatility model and its market risk (English)
0 references
12 December 2008
0 references
nonlinear filtering
0 references
Zakai equation
0 references
splitting-up method
0 references
stochastic volatility
0 references
option pricing
0 references
0 references
