Implied filtering densities on the hidden state of stochastic volatility
Carlos Fuertes & Andrew Papanicolaou
| Year of publication: |
2014
|
|---|---|
| Authors: | Fuertes, Carlos ; Papanicolaou, Andrew |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 5/6, p. 483-522
|
| Subject: | Filtering | stochastic volatility | HMM | volatility risk premium | Heston model | volatility uncertainty | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010500874