Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Year of publication: |
2008
|
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Authors: | Mariani, Francesca ; Pacelli, Graziella ; Zirilli, Francesco |
Published in: |
Optimization letters. - Berlin : Springer, ISSN 1862-4472, ZDB-ID 2274663-8. - Vol. 2.2008, 2, p. 177-222
|
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | CAPM | Theorie | Theory |
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