Sequential Calibration of Asset Pricing Models to Option Prices
This paper implements four calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods, namely the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF) and the unscented Kalman filter (UKF). A...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2019
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| Online Access: | http://hdl.handle.net/11427/29840 |