Filtration of parameters of the Heston model-Reference-Cited by-同舟云学术

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Filtration of parameters of the Heston model

Published:2020-10-28 Issue:4(163), Volume: Page:48-55
ISSN:2518-1696
Container-title:Системи обробки інформації
language:
Short-container-title:soi

Author:

Кобилін О.А.^ORCID,Путятіна О.Є.^ORCID,Гарячий М.В.^ORCID

Abstract

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 for practical applications, in particular for solving the filtration problem. The filtration problem for the models of the financial market consists of evaluating of unobservable model parameters, having got the stock price observations.

Publisher

Ivan Kozhedub Kharkiv National Air Force University KNAFU

Reference25 articles.

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3. Bain, A. and Crisan, D. (2009), Fundamentals of Stochastic Filtering, Springer Science+Business Media, LLC, 395 p.

4. Brammer, K. and Siffling, G. (1989), Kalman-Bucy Filters, Artech House, Inc, Norwood, MA, 280 p.

5. Brendle, S. (2006), Portfolio selection under incomplete information, Stochastic Processes and their Applications, No. 116, pp. 701-723.

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