An analytic approximation of the likelihood function for the Heston model volatility estimation problem (Q3395736)
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scientific article; zbMATH DE number 5603436
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| English | An analytic approximation of the likelihood function for the Heston model volatility estimation problem |
scientific article; zbMATH DE number 5603436 |
Statements
An analytic approximation of the likelihood function for the Heston model volatility estimation problem (English)
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13 September 2009
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volatility
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volatility estimation
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Heston model
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stochastic volatility
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particle filter
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0.8212279081344604
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0.773364782333374
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0.7639579772949219
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0.7609641551971436
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