An analytic approximation of the likelihood function for the Heston model volatility estimation problem (Q3395736)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic approximation of the likelihood function for the Heston model volatility estimation problem |
scientific article |
Statements
An analytic approximation of the likelihood function for the Heston model volatility estimation problem (English)
0 references
13 September 2009
0 references
volatility
0 references
volatility estimation
0 references
Heston model
0 references
stochastic volatility
0 references
particle filter
0 references
0 references
0 references
0 references
