Implied Filtering Densities on the Hidden State of Stochastic Volatility

DOI10.1080/1350486X.2014.891357zbMath1395.91441arXiv1203.6631MaRDI QIDQ4586317

Andrew Papanicolaou, Carlos A. Fuertes

Publication date: 12 September 2018

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

Full work available at URL: https://arxiv.org/abs/1203.6631

zbMATH Keywords

HMMstochastic volatilityfilteringHeston modelvolatility uncertaintyvolatility risk premium

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Mathematica

Cites Work

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