Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Year of publication: |
2013
|
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Authors: | Koulis, Theodoro ; Paseka, Alexander ; Thavaneswaran, Aerambamoorthy |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 3, p. 357-365
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Subject: | Recursive Estimation | Diffusion Processes | Interest Rate Models | Milstein Approximation | Schätztheorie | Estimation theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsstruktur | Yield curve |
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