Estimation of stochastic volatility in the Hull-White model

Shinichi Aihara

Applied Mathematical Finance, 2000, vol. 7, issue 3, 153-181

Abstract: Estimation of the stochastic volatility in the Hull-White framework is considered. Stock price is taken as the observation and the estimation problem is posed for the stochastic volatility. It is first shown that it is not possible to formulate this as the usual filtering problem, and an alternative formulation is proposed. A robust filtering equation is then derived suitable for real observation data.

Keywords: Stochastic Volatility Hull-WHITE Model Robust Filter (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1080/13504860110046074

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