An analytic approximation of the likelihood function for the Heston model volatility estimation problem
Year of publication: |
2009
|
---|---|
Authors: | Atiya, Amir ; Wall, Steve |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 3, p. 289-296
|
Publisher: |
Taylor & Francis Journals |
Subject: | Volatility | Volatility estimation | Heston model | Stochastic volatility | Particle filter |
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