Estimation of stochastic volatility in the Hull-White model

DOI10.1080/13504860110046074zbMath1061.91022OpenAlexW2122217660MaRDI QIDQ4541594

Arunabha Bagchi, Shin Ichi Aihara

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504860110046074

zbMATH Keywords

robust filter

Mathematics Subject Classification ID

Related Items (1)

Filtering and identification of Heston's stochastic volatility model and its market risk

Cites Work

• Asymptotic Filtering Theory for Univariate Arch Models
• Filtering formulae for partially observed linear systems with non-gaussian initial conditions
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