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Two Notes About Adaptive Filters for Volatility Parameter
2012
International Journal of Algebra and Statistics
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This paper consider the adaptive filtering problem in a semi-martingale process for trend and volatility parameters under the stochastic volatility assumption. First, we consider the Black-Scholes model for volatility and then we extend our results to the other models for volatility process. A conclusion section is also given.
doi:10.20454/ijas.2012.371
fatcat:dapvagrtsrhi7kyt46sidzi2wm