Recursive estimation for continuous time stochastic volatility models

DOI10.1016/j.aml.2009.06.014zbMath1180.91315MaRDI QIDQ1036836

J. Blot

Publication date: 13 November 2009

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2009.06.014

zbMATH Keywords

stochastic volatility; Itô's formula; recursive estimation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures