Adaptive calibration of Heston Model using PCRLB based switching Filter
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- Delphine Lautier & Alireza Javaheri & Alain Galli, 2003. "Filtering in finance," Post-Print halshs-00153006, HAL.
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- Kumar Yashaswi, 2021. "Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting," Papers 2112.03193, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2022-01-10 (Econometrics)
- NEP-ETS-2022-01-10 (Econometric Time Series)
- NEP-RMG-2022-01-10 (Risk Management)
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