Filtering and identification of Heston's stochastic volatility model and its market risk

Journal of Economic Dynamics and Control

Volumn 30, Issue 12, 2006, Pages 2363-2388

  Aihara, ShinIchi ^a   Bagchi, Arunabha ^b  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Nonlinear filtering; Option pricing; Splitting up method; Stochastic volatility; Zakai equation

Indexed keywords

EID: 33748957581     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.06.017     Document Type: Article

References (12)

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