Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting
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References listed on IDEAS
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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- Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," JRFM, MDPI, vol. 4(1), pages 1-23, December.
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Cited by:
- Kumar Yashaswi, 2021. "Adaptive calibration of Heston Model using PCRLB based switching Filter," Papers 2112.04576, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2022-01-17 (Econometrics)
- NEP-ETS-2022-01-17 (Econometric Time Series)
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