Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process
Year of publication: |
2020
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Authors: | Szczepocki, Piotr |
Published in: |
Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland. - Warszawa : GUS, ISSN 2450-0291, ZDB-ID 2235641-1. - Vol. 21.2020, 2, p. 173-187
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Subject: | Ornstein-Uhlenbeck process | stochastic volatility | iterated filtering | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.21307/stattrans-2020-019 [DOI] hdl:10419/236769 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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