Hidden Markov Chain Filtering for Generalised Bessel Processes
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References listed on IDEAS
- Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375.
- Fischer Paul & Platen Eckhard, 1999.
"Applications of the balanced method to stochastic differential equations in filtering,"
Monte Carlo Methods and Applications,
De Gruyter, vol. 5(1), pages 19-38, December.
- Paul Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.
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