Tracking volatility

J. Cvitanić; R. Liptser; B. Rozovskii

Tracking volatility

J. Cvitanić, R. Liptser, B. Rozovskii

Research output: Contribution to journal › Conference article › peer-review

Abstract

The nonlinear filtering of the volatility coefficient in a Black-Scholes type model that allows stochastic volatility is addressed. For this purpose, a mean-square optimal recursive filter is derived for θ_t. Further, Duncan-Mortensen-Zakai and Wonham-Kushner type equations for posterior distributions of θ_t are established.

Original language	English
Pages (from-to)	1189-1193
Number of pages	5
Journal	Proceedings of the IEEE Conference on Decision and Control
Volume	2
State	Published - 2000
Externally published	Yes
Event	39th IEEE Confernce on Decision and Control - Sydney, NSW, Australia Duration: 12 Dec 2000 → 15 Dec 2000

Cite this

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title = "Tracking volatility",

abstract = "The nonlinear filtering of the volatility coefficient in a Black-Scholes type model that allows stochastic volatility is addressed. For this purpose, a mean-square optimal recursive filter is derived for θt. Further, Duncan-Mortensen-Zakai and Wonham-Kushner type equations for posterior distributions of θt are established.",

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AU - Cvitanić, J.

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AB - The nonlinear filtering of the volatility coefficient in a Black-Scholes type model that allows stochastic volatility is addressed. For this purpose, a mean-square optimal recursive filter is derived for θt. Further, Duncan-Mortensen-Zakai and Wonham-Kushner type equations for posterior distributions of θt are established.

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JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

SN - 0191-2216

Y2 - 12 December 2000 through 15 December 2000

ER -

Tracking volatility

Abstract

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