Carlos Fuertes

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

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Scholarly Papers (1)

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Implied Filtering Densities on Volatility's Hidden State

Applied Mathematical Finance, Volume 21, Issue 6, (2014) pp. 483-522.
Number of pages: 31 Posted: 23 Dec 2012 Last Revised: 21 Sep 2014
Carlos Fuertes and Andrew Papanicolaou
Princeton University and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
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Abstract:

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Heston model, filtering, stochastic volatility, hidden states