A branching particle approximation to a filtering micromovement model of asset price

DOI10.1007/S11203-011-9053-3zbMATH Open1247.91192OpenAlexW2032798566MaRDI QIDQ453787FDOQ453787

Authors: Yong Zeng, Jie Xiong 

Publication date: 28 September 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-011-9053-3

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zbMATH Keywords

counting processfilteringparticle filtersstochastic partial differential equationMonte Carlo approximationultra-high frequency data

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited In (4)

• Microstructure models with short-term inertia and stochastic volatility
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises
• Stability of the filter with Poisson observations

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