Inferences for a class of stochastic volatility models using option and spot prices : application of a bivariate Kalman filter
Catherine S. Forbes, Gael M. Martin and Jill Wright
| Year of publication: |
2007
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|---|---|
| Authors: | Forbes, Catherine Scipione ; Martin, Gael M. ; Wright, Jill |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 26.2007, 2, p. 387-418
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| Subject: | Induktive Statistik | Statistical inference | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Theorie | Theory |
| 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/10003509137