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Research reports by Ruth Kaila

Here are the reports authored by Ruth Kaila. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

A545

Ruth Kaila

The integrated volatility implied by option prices, a Bayesian approach   [pdf][ps] * erratum (2008-05-20) [pdf][ps]

Received 2008-04-22 * implied integrated volatility, stochastic volatility, quadratic variation, Bayesian inference, MCMC sampling, hypermodel * AMS 91B * 102 pages