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Filtering and identification of Heston's stochastic volatility model and its market risk

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  • Aihara, ShinIchi
  • Bagchi, Arunabha

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  • Aihara, ShinIchi & Bagchi, Arunabha, 2006. "Filtering and identification of Heston's stochastic volatility model and its market risk," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2363-2388, December.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:12:p:2363-2388
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    References listed on IDEAS

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    1. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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