7 search results - page 2 / 2 » Gamma expansion of the Heston stochastic volatility model |
CSDA
2010
13 years 4 months ago
2010
The Gaussian kernel density estimator is known to have substantial problems for bounded random variables with high density at the boundaries. For i.i.d. data several solutions hav...
EOR
2007
13 years 4 months ago
2007
A simultaneous perturbation stochastic approximation (SPSA) method has been developed in this paper, using the operators of perturbation with the Lipschitz density function. This ...