On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Year of publication: |
2019
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Authors: | Cacace, Filippo ; Germani, Alfredo ; Papi, Marco |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 503-525
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Subject: | Stochastic volatility | Variance gamma | Polynomial filtering | Likelihood | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model |
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