A non-parametric estimator for stochastic volatility density
Soufiane Ouamaliche and Awatef Sayah
Year of publication: |
2021
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Authors: | Ouamaliche, Soufiane ; Sayah, Awatef |
Published in: |
International journal of computational economics and econometrics : IJCEE. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1189, ZDB-ID 2545120-0. - Vol. 11.2021, 4, p. 349-367
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Subject: | non-parametric estimation | kernel smoothing | kernel regression | kernel density estimation | convolution structure | stochastic volatility | Monte Carlo simulations | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Core |
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