Estimating the implicit interest rate of a risky asset

DOI10.1016/0304-4149(94)90133-3zbMath0797.60036MaRDI QIDQ1316597

Robert J. Elliott, Raymond W. Rishel

Publication date: 10 October 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90133-3

zbMATH Keywords

stochastic differential equation; hidden Markov models; finite-dimensional filters; finite state Markov chain

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G35: Signal detection and filtering (aspects of stochastic processes)

60J60: Diffusion processes

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Cites Work

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• Estimating variance from high, low and closing prices
• Higher-order implicit strong numerical schemes for stochastic differential equations
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Approximate Integration of Stochastic Differential Equations