Stochastic volatility estimation with application to option pricing
Stochastic volatility estimation with application to option pricing
复制标题
随机波动率估计及其在期权定价中的应用
DOI：
10.5687/sss.2000.321
复制
发表时间：
2000
期刊：
影响因子：
--
通讯作者：
A. Bagchi
中科院分区：
文献类型：
--
作者：
S. Aihara;A. Bagchi
We consider the estimation problem of the stochastic volatility in the Hull-White framework. We consider the stock price出 theobservation and pose the estimation problem for the stochastic volatility. We first show that it is not possible to formulate this 部 ausual filtering problem and propose an alternative formulation. We then derive the robust filtering equation suitable for real observation data and apply this new filter to the option pricing problem.