Analytic approximation of the transition density function under a multi-scale volatility model
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چکیده
منابع مشابه
An Analytic Approximation for the Likelihood Function for the Volatility Estimation Problem for the Heston Model∗
Estimating the volatility from the underlying asset price history for the discrete observations case is a challenging inference problem. Yet it has attracted much research interest due to the key role of volatility in many areas of finance. In this paper we consider the Heston stochastic volatility model and propose an accurate analytic approximation for the volatility likelihood function. The ...
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ژورنال
عنوان ژورنال: Hacettepe Journal of Mathematics and Statistics
سال: 2017
ISSN: 1303-5010
DOI: 10.15672/hjms.2017.540