A FILTERING APPROACH TO TRACKING VOLATILITY FROM PRICES OBSERVED AT RANDOM TIMES By

@inproceedings{Cvitanic2006AFA,
  title={A FILTERING APPROACH TO TRACKING VOLATILITY FROM PRICES OBSERVED AT RANDOM TIMES By},
  author={Jaksa Cvitanic and R. Sh. Liptser and Boris Rozovskii},
  year={2006}
}
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process S = (St)t≥0 is given by dSt = r(θt)Stdt + v(θt)StdBt, where B = (Bt)t≥0 is a Brownian motion, v is a positive function, and θ = (θt)t≥0 is a cádlág strong Markov process. The random process θ is unobservable. We assume also that the asset price St is observed only at random times 0 < τ1 < τ2 < . . . . This is an… CONTINUE READING
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