[R-sig-finance] Stochastic volatility
manojsw at gmail.com
Mon Nov 14 04:58:26 CET 2005
has anyone tried to implement any of the filters mentioned in this
paper using R?
On 11/13/05, Krishna Kumar <kriskumar at earthlink.net> wrote:
> >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 :-)
> R-sig-finance at stat.math.ethz.ch mailing list
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