کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099937 1478708 2006 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Filtering and identification of Heston's stochastic volatility model and its market risk
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Filtering and identification of Heston's stochastic volatility model and its market risk
چکیده انگلیسی
We study the filtering problem for the stochastic volatility model of Heston by using the nonlinear estimation theory. To solve the estimation problem for the stochastic volatility process, we use the random time change method. The derived basic equation for the filtering is the so-called Zakai equation and its numerically realized algorithm is proposed with the aid of the splitting-up method. Regarding the European call option problem, the identification of the market price of the volatility risk is also studied. Some numerical simulation studies are demonstrated to show the advantage of the proposed method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 12, December 2006, Pages 2363-2388
نویسندگان
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