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Nonlinear Filtering of Stochastic Differential Equations with Jumps · Study

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PreprintNonlinear Filtering of Stochastic Differential Equations with Jumps

Michael Slater Johannes2002

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Preprintgreen2002

Nonlinear Filtering of Stochastic Differential Equations with Jumps

Michael Slater Johannes · Jonathan Stroud · Nick Polson

25 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Target Tracking and Data Fusion in Sensor Networks Markov Chains and Monte Carlo Methods

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1980On estimating the expected return on the market 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models

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2009Stochastic Volatilityother · 25 shared references 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Pricesarticle · 22 shared references 2010Estimation of objective and risk-neutral distributions based on moments of integrated volatilityarticle · 17 shared references 2009Stochastic Volatility: Origins and Overviewchapter · 15 shared references 2010The Econometrics of Option Pricingchapter · 15 shared references 2008Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Optionspreprint · 15 shared references

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Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.334601

openalex_workW1531320667

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