مرکز منطقه ای اطلاع رساني علوم و فناوري - Filtering and identification of Hestonʹs stochastic volatility model and its market risk

Title of article :

Filtering and identification of Hestonʹs stochastic volatility model and its market risk

Author/Authors :

ShinIchi Aihara، نويسنده , , Arunabha Bagchi، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2363

To page :

2388

Keywords :

Nonlinear filtering , option pricing , Zakai equation , Splitting-up method , Stochastic Volatility

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2006

Journal title :

Journal of Economic Dynamics and Control

Record number :

238964

Link To Document :