Online estimation of time-varying volatility using a continuous-discrete LMS algorithm

DOI10.1155/2008/532760MaRDI QIDQ955357zbMATH OpenOpenAlexWikidataFDO

Authors Elisabeth Lahalle, Hana Baili, Jacques Oksman

Publication date 20 November 2008

Published in EURASIP Journal on Advances in Signal Processing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2008/532760

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities

Cited in

(1)

• MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS

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