Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
G. Rigatos, N. Zervos
| Year of publication: |
June 2017
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|---|---|
| Authors: | Rigatos, G. ; Zervos, N. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 1, p. 1-20
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| Subject: | Option pricing models | Diffusion-type partial differential equations | Differential flatness theory | Derivative-free nonlinear Kalman Filter | Model validation | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Analysis | Mathematical analysis | Nichtlineare Regression | Nonlinear regression | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9575-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762181