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Implied Filtering Densities on the Hidden State of Stochastic Volatility
Carlos Fuertes, Andrew Papanicolaou
Finance and Risk Engineering
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Keyphrases
Inverse Problem
100%
Stochastic Volatility
100%
Hidden States
100%
Volatility Uncertainty
100%
Separability
50%
Estimation Model
50%
Hidden Markov Model
50%
Volatility
50%
Risk Premium
50%
Conditional Expectation
50%
Option Expiration
50%
Multiplicative Components
50%
Month-of-the-year Effect
50%
Option Data
50%
Derivative Prices
50%
Cyclic Effect
50%
Volatility Index
50%
Conditional Density
50%
SPX Options
50%
Uncertainty Premium
50%
Martingale Change of Measure
50%
Variance Swap
50%
Maturity Date
50%
Bayesian Filtering
50%
Mathematics
Stochastic Volatility
100%
Hidden State
100%
Variance
50%
Conditionals
50%
Bayesian
50%
Multiplicative
50%
Estimated Model
50%
Hidden Markov Model
50%
Conditional Expectation
50%
Maturity Date
50%
Economics, Econometrics and Finance
Hidden Markov Model
16%