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Autor:
Stok, Robert, Bilokon, Paul
Calculating true volatility is an essential task for option pricing and risk management. However, it is made difficult by market microstructure noise. Particle filtering has been proposed to solve this problem as it favorable statistical properties,
Externí odkaz:
http://arxiv.org/abs/2311.06256
Autor:
Stok, Robert1 rs.stok@gmail.com, Bilokon, Paul2 paul.bilokon01@imperial.ac.uk, Simonian, Joseph3 jsslog15@gmail.com
Publikováno v:
Journal of Financial Data Science. Spring2024, Vol. 6 Issue 2, p54-73. 20p.
Publikováno v:
Florida Bar Journal. Jan/Feb2023, Vol. 97 Issue 1, p20-25. 5p.