ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS

DOI10.1142/S0219024900000139zbMath1154.91467MaRDI QIDQ3523558

Jan Nygaard Nielsen, Martin Vestergaard

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityvolatility estimationnonlinear filtering, Monte Carlo simulation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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