Filtering and option pricing with transformation

MaRDI QIDQ2888195zbMATH OpenFDO

Authors H. Gong, J. Singh, A. Thavaneswaran

Publication date 30 May 2012

Published in Journal of Applied Statistical Science (Search for Journal in Brave)

zbMATH Keywords

ARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cited in

(1)

• A backward doubly stochastic differential equation approach for nonlinear filtering problems

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