Filtration of parameters of the Heston model
In this article we consider the Heston model of the stock price behaviour. While the volatility of the model is the non-linear function of another stochastic unobservable function, that is why we consider linearizing all non-linear functions of the model. The aim is to make the Heston model simpler...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ivan Kozhedub Kharkiv National Air Force University
2020-10-01
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| Series: | Системи обробки інформації |
| Subjects: | |
| Online Access: | https://journal-hnups.com.ua/index.php/soi/article/view/476 |