Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (Q5292355): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/07474930701220584 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2125179223 / rank | |||
Normal rank | |||
Revision as of 23:31, 19 March 2024
scientific article; zbMATH DE number 5165868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter |
scientific article; zbMATH DE number 5165868 |
Statements
Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (English)
0 references
20 June 2007
0 references
Markov chain Monte Carlo
0 references
multi-move sampler
0 references
option pricing
0 references
nonlinear state space model
0 references
volatility risk
0 references
Savage-Dickey density ratio
0 references
