Volatility research based on the modified unscented Kalman filter (Q2951344)
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scientific article; zbMATH DE number 6672405
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Volatility research based on the modified unscented Kalman filter |
scientific article; zbMATH DE number 6672405 |
Statements
6 January 2017
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nonlinear Gaussian state-space model
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modified unscented Kalman filter
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Heston stochastic volatility model
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option pricing model
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0.8633266687393188
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0.7935197949409485
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0.7574897408485413
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0.7526088953018188
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0.7482062578201294
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