Estimation of stochastic volatility in the Hull-White model

Applied Mathematical Finance

Volumn 7, Issue 3, 2000, Pages 153-181

  Aihara, Shinichi ^a   Bagchi, Arunabha ^b  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Hull WHITE Model; Robust Filter; Stochastic Volatility

Indexed keywords

EID: 33748952785     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860110046074     Document Type: Article

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