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Estimation of Stochastic Volatility in the
Dec 5, 2000
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| Abstract: We consider the estimation problem if the stochastic volatility in the Hull-White framework. We consider the stock price as the observation and pose the estimation problem for the stochastic volatility. We first show that it is not possible to formulate ths as a usual 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. |
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2001 Purdue University Last Update: July 10, 2001 Please send comments and suggestions to the Webmaster. |