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Optimal Stochastic Decensoring and Applications to Calibration of Market Models

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  • Anastasis Kratsios

Abstract

Typically flat filling, linear or polynomial interpolation methods to generate missing historical data. We introduce a novel optimal method for recreating data generated by a diffusion process. The results are then applied to recreate historical data for stocks.

Suggested Citation

  • Anastasis Kratsios, 2017. "Optimal Stochastic Decensoring and Applications to Calibration of Market Models," Papers 1712.04844, arXiv.org, revised Dec 2017.
    • Handle: RePEc:arx:papers:1712.04844
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    1. Baudoin, Fabrice, 0. "Conditioned stochastic differential equations: theory, examples and application to finance," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 109-145, July.
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