An unscented Kalman smoother for volatility extraction: evidence from stock prices and options (Q2361173)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An unscented Kalman smoother for volatility extraction: evidence from stock prices and options |
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An unscented Kalman smoother for volatility extraction: evidence from stock prices and options (English)
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30 June 2017
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nonlinear Gaussian state-space models
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nonlinear Kalman filters
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unscented Kalman smoother
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Heston stochastic volatility model
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option pricing
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