Recursive estimation for continuous time stochastic volatility models
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A criterion for filtering in semimartingale models
- Filtering for some time series models by using transformation
- Filtering via estimating functions
- scientific article; zbMATH DE number 3802533 (Why is no real title available?)
- Linear filtering for asymmetric stochastic volatility models
- Option valuation with conditional skewness
- Stock price distributions with stochastic volatility: an analytic approach
Cited in
(5)- Recursive computation of piecewise constant volatilities
- Hierarchical least squares algorithms for nonlinear feedback system modeling
- Recursive Estimation of GARCH Models
- Model order determination using the Hankel matrix of impulse responses
- Nonlinear recursive estimation of volatility via estimating functions
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