The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model
| Year of publication: |
2010
|
|---|---|
| Authors: | Wang, Ren-Her ; Aston, John ; Fuh, Cheng-Der |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 36.2010, 4, p. 283-307
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Kalman filter | Particle filter | Stochastic volatility model | Volatility forecasting |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008776290