Sequential Monte Carlo for fractional stochastic volatility models

DOI10.1080/14697688.2017.1327717zbMath1400.91652arXiv1508.02651OpenAlexW2964261112MaRDI QIDQ4554435

Alexandra Chronopoulou, Konstantinos V. Spiliopoulos

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1508.02651

zbMATH Keywords

parameter estimationparticle filteringlong memory stochastic volatilityrough stochastic volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (1)

Delta-hedging in fractional volatility models

Uses Software

• longmemo

Cites Work

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