Application of Extended Kalman Filter to SPD Estimation

DOI10.1007/978-3-540-69179-2_11zbMath1279.91191OpenAlexW105974557MaRDI QIDQ3542259

Zdeněk Hlávka, Marek Svojik

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69179-2_11

zbMATH Keywords

state price density estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Filtering in stochastic control theory (93E11) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Shape Constrained Regression in Sobolev Spaces with Application to Option Pricing ⋮ Dynamics of state price densities

This page was built for publication: Application of Extended Kalman Filter to SPD Estimation