Modelling of Stochastic Volatility using Partially Observed Markov Models
In this thesis, calibration of stochastic volatility models that allow correlation between the volatility and the returns has been considered. To achieve this, the dynamics has been modelled as an extension of hidden Markov models, and a special case of partially observed Markov models. This thesis...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-192878 |