Estimation du coefficient de diffusion de la volatilité d'un modèle à volatilité stochastique

DOI10.1016/S0764-4442(00)00119-1zbMath0949.62073OpenAlexW2045731795MaRDI QIDQ4950769

Arnaud Gloter

Publication date: 9 April 2000

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)00119-1

zbMATH Keywords

rate of convergenceconsistencystochastic volatility model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ Nonparametric estimation for stochastic volatility models ⋮ Efficient estimation of drift parameters in stochastic volatility models ⋮ Stochastic volatility and fractional Brownian motion ⋮ Rate of convergence for parametric estimation in a stochastic volatility model.

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