Building a Consistent Pricing Model from Observed Option Prices.

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option price. It explicitly treats the fact that only a discrete data set can be observed in practice, The framework is general and allows for state dependent volatility and jumps.

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Year of publication:	1999
Authors:	Laurent, J.-P. ; Leisen, D.
Subject:	ECONOMIC MODELS \| RISK \| FINANCIAL MARKET

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Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C51 - Model Construction and Estimation ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780795