Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Theodoro Koulis; Alexander Paseka; Aerambamoorthy Thavaneswaran
| Year of publication: |
2013
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|---|---|
| Authors: | Koulis, Theodoro ; Paseka, Alexander ; Thavaneswaran, Aerambamoorthy |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 3, p. 357-365
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| Subject: | Recursive Estimation | Diffusion Processes | Interest Rate Models | Milstein Approximation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Volatilität | Volatility | Zinsstruktur | Yield curve | Zins | Interest rate | CAPM |
| 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/10010239543