Filtration of parameters of the Heston model
Анотація
In this article we consider the Heston model of the stock price behaviour. While the volatility of the model is the non-linear function of another stochastic unobservable function, that is why we consider linearizing all non-linear functions of the model. The aim is to make the Heston model simpler for practical applications, in particular for solving the filtration problem. The filtration problem for the models of the financial market consists of evaluating of unobservable model parameters, having got the stock price observations.
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