On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
F. Cacace, A. Germani, M. Papi
| Year of publication: |
2019
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|---|---|
| Authors: | Cacace, Filippo ; Germani, Alfredo ; Papi, Marco |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 503-525
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| Subject: | Stochastic volatility | Variance gamma | Polynomial filtering | Likelihood | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00251-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127257