Filtering and identification of Heston's stochastic volatility model and its market risk
Year of publication: |
2006
|
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Authors: | Aihara, ShinIchi ; Bagchi, Arunabha |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 30.2006, 12, p. 2363-2388
|
Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory |
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