Recursive estimation for continuous time stochastic volatility models

DOI10.1016/J.AML.2009.06.014zbMath1180.91315OpenAlexW2010635752MaRDI QIDQ1036836

J. Blot

Publication date: 13 November 2009

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2009.06.014

zbMATH Keywords

stochastic volatilityItô's formularecursive estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

Hierarchical least squares algorithms for nonlinear feedback system modeling ⋮ Model order determination using the Hankel matrix of impulse responses ⋮ Nonlinear recursive estimation of volatility via estimating functions

Cites Work

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• Option valuation with conditional skewness
• A criterion for filtering in semimartingale models
• Filtering via estimating functions
• Linear filtering for asymmetric stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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