Filtering and identification of Heston's stochastic volatility model and its market risk (Q959679)
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scientific article; zbMATH DE number 5382177
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| default for all languages | No label defined |
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| English | Filtering and identification of Heston's stochastic volatility model and its market risk |
scientific article; zbMATH DE number 5382177 |
Statements
Filtering and identification of Heston's stochastic volatility model and its market risk (English)
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12 December 2008
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nonlinear filtering
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Zakai equation
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splitting-up method
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stochastic volatility
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option pricing
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0.8415151834487915
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0.8300275802612305
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0.8117664456367493
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0.8095259666442871
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0.8027822375297546
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