RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING (Q3564996): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 12:49, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING |
scientific article |
Statements
RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING (English)
0 references
27 May 2010
0 references
term structure models
0 references
forward prices
0 references
volatility structure
0 references
benchmark approach
0 references
Bayesian estimation
0 references
non linear filtering
0 references