Optimal Stochastic Decensoring and Applications to Calibration of Market Models
classification
💱 q-fin.CP
math.PR
keywords
datahistoricaloptimalapplicationsappliedcalibrationdecensoringdiffusion
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Typically flat filling, linear or polynomial interpolation methods to generate missing historical data. We introduce a novel optimal method for recreating data generated by a diffusion process. The results are then applied to recreate historical data for stocks.
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