The role of additional information in option pricing: estimation issues for the state space model (Q604920)
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scientific article; zbMATH DE number 5815636
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| English | The role of additional information in option pricing: estimation issues for the state space model |
scientific article; zbMATH DE number 5815636 |
Statements
The role of additional information in option pricing: estimation issues for the state space model (English)
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12 November 2010
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Kalman filter
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particle filter
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stochastic volatility model
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volatility forecasting
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0.7606726288795471
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0.7578412294387817
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0.7505583763122559
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0.7432405352592468
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0.7384451031684875
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