Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

DOI10.1007/S00780-022-00493-8OpenAlexW4292201395MaRDI QIDQ2111244FDOQ2111244

Nicolas Marie

Publication date: 28 December 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.15637

zbMATH Keywords

model selectionfractional Brownian motionstochastic differential equationsstochastic volatilityprojection least squares estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (1)

• Nonparametric Estimation for I.I.D. Paths of a Martingale Driven Model with Application to Non-Autonomous Financial Models

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