[R-sig-finance] Stochastic volatility

Krishna Kumar kriskumar at earthlink.net
Sun Nov 13 00:08:37 CET 2005

>I have not yet seen the application of the Kalman filter (and the particle 
>filter) to option pricing. This sounds like a very interesting approach! If 
>anyone knows about such work, please give me a link!
Another paper that might be of interest is this by Alireza (reza) et.al
the kalman filter is a prefered approach for computing time-varying 
betas in some banks :-)

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