An adaptive model for security prices driven by latent values : parameter estimation and option pricing effects
Year of publication: |
2022
|
---|---|
Authors: | Hilliard, Jimmy E. ; Hilliard, Jitka ; Ni, Yinan |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 7, p. 1231-1246
|
Subject: | Asset prices | Delta hedge | Intrinsic value | Kalman filter | Option prices | Optionspreistheorie | Option pricing theory | CAPM | Börsenkurs | Share price | Hedging | Schätzung | Estimation |
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