Filtering and identification of Heston's stochastic volatility model and its market risk
From MaRDI portal
Publication:959679
DOI10.1016/J.JEDC.2005.06.017zbMath1162.91361OpenAlexW2137937074MaRDI QIDQ959679
Arunabha Bagchi, Shin Ichi Aihara
Publication date: 12 December 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.06.017
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Construction of a solution of random transport equation with boundary condition
- Approximation of the Zakaï Equation by the Splitting up Method
- Stochastic partial differential equations and filtering of diffusion processes
- Estimation of stochastic volatility in the Hull-White model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A partial differential equation with the white noise as a coefficient
This page was built for publication: Filtering and identification of Heston's stochastic volatility model and its market risk
