An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Si Chen, Zhen Zhou, Shenghong Li
| Year of publication: |
November 2016
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|---|---|
| Authors: | Chen, Si ; Zhou, Zhen ; Li, Shenghong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 58.2016, p. 655-664
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| Subject: | Dynamics of implied volatility | Volatility forecast | Unscented Kalman filter | Volatilität | Volatility | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647943