Article Dans Une Revue Finance and Stochastics Année : 2010

Nonparametric estimation for a stochastic volatility model.

Résumé

Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the drift and the diffusion coefficient of the unobserved diffusion $V$, we propose nonparametric least square estimators, and provide bounds for theirrisk. Estimators are chosen among a collection of functions belonging to a finite dimensional space whose dimension is selected by a data driven procedure. Implementation on simulated data illustrates how the method works.

Fichier principal
Vignette du fichier
NonparametricSV.pdf (1.4 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence

Dates et versions

hal-00200874 , version 1 (21-12-2007)

Licence

Identifiants

Citer

Fabienne Comte, Valentine Genon-Catalot, Yves Rozenholc. Nonparametric estimation for a stochastic volatility model.. Finance and Stochastics, 2010, 14 (1), pp.49-80. ⟨10.1007/s00780-009-0094-z⟩. ⟨hal-00200874⟩
300 Consultations
226 Téléchargements

Altmetric

Partager

  • More