The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
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Cites work
- scientific article; zbMATH DE number 3930122 (Why is no real title available?)
- scientific article; zbMATH DE number 3996828 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
- Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
- Simultaneous statistical inference. 2nd ed
- The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods
- The pricing of options and corporate liabilities
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