Showing 1 - 10 of 29
Persistent link: https://www.econbiz.de/10003861274
Persistent link: https://www.econbiz.de/10003865680
Persistent link: https://www.econbiz.de/10003928488
Persistent link: https://www.econbiz.de/10009667381
Persistent link: https://www.econbiz.de/10010461908
The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that...
Persistent link: https://www.econbiz.de/10013090953
State-of-the-art stochastic volatility models generate a 'volatility smirk' that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk....
Persistent link: https://www.econbiz.de/10014205554
Persistent link: https://www.econbiz.de/10003275843
Persistent link: https://www.econbiz.de/10009242567
Persistent link: https://www.econbiz.de/10010512286