Recursive estimation for continuous time stochastic volatility models

Applied Mathematics Letters

Volumn 22, Issue 11, 2009, Pages 1770-1774

  Gong, H ^a   Thavaneswaran, A ^b  

^a TEMPLE UNIVERSITY   (United States)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Ito's formula; Recursive estimation; Stochastic volatility

Indexed keywords

ASSET PRICE DYNAMICS; CONTINUOUS TIME; DISCRETE TIME; ITO'S FORMULA; NON-LINEAR NON-GAUSSIAN; NONLINEAR STOCHASTIC PROCESS; OPTION PRICING; PORTFOLIO MANAGEMENTS; PRINCETON UNIVERSITY; RECURSIVE ESTIMATE; RECURSIVE ESTIMATION; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODEL; TIME SERIES MODELS;

CONTINUOUS TIME SYSTEMS; ECONOMICS; ESTIMATION; FINANCIAL DATA PROCESSING; INVESTMENTS; LYAPUNOV METHODS; RANDOM PROCESSES; RECURSIVE FUNCTIONS; TIME SERIES;

STOCHASTIC MODELS;

EID: 70349118077     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.aml.2009.06.014     Document Type: Article

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