Online estimation of time-varying volatility using a continuous-discrete LMS algorithm

DOI10.1155/2008/532760zbMath1152.91303OpenAlexW2074789836WikidataQ59218209 ScholiaQ59218209MaRDI QIDQ955357

Jacques Oksman, Elisabeth Lahalle, Hana Baili

Publication date: 20 November 2008

Published in: EURASIP Journal on Advances in Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2008/532760

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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