Optimal Stochastic Decensoring and Applications to Calibration of Market Models

Anastasis Kratsios

Papers from arXiv.org

Abstract: Typically flat filling, linear or polynomial interpolation methods to generate missing historical data. We introduce a novel optimal method for recreating data generated by a diffusion process. The results are then applied to recreate historical data for stocks.

Date: 2017-12, Revised 2017-12
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