Calibration of stochastic volatility models: A Tikhonov regularization approach

Research output: Journal article publication › Journal article › Academic research › peer-review

9 Citations (Scopus)

Original language	English
Pages (from-to)	66-81
Number of pages	16
Journal	Journal of Economic Dynamics and Control
Volume	64
DOIs	https://doi.org/10.1016/j.jedc.2016.01.002
Publication status	Published - Mar 2016

More information

@article{2a40f2fd76eb418b94f9441eb44b5768,

title = "Calibration of stochastic volatility models: A Tikhonov regularization approach",

author = "Min Dai and Ling Tang and Xingye Yue",

year = "2016",

month = mar,

doi = "10.1016/j.jedc.2016.01.002",

language = "English",

volume = "64",

pages = "66--81",

journal = "Journal of Economic Dynamics and Control",

issn = "0165-1889",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Calibration of stochastic volatility models: A Tikhonov regularization approach

AU - Dai, Min

AU - Tang, Ling

AU - Yue, Xingye

PY - 2016/3

Y1 - 2016/3

U2 - 10.1016/j.jedc.2016.01.002

DO - 10.1016/j.jedc.2016.01.002

M3 - Journal article

SN - 0165-1889

VL - 64

SP - 66

EP - 81

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

ER -