Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data

This article provides a procedure for the estimation of parametric homogeneous stochastic volatility (SV) pricing formulae based on option data. Our estimator has the advantage of being (i) based on option data, (ii) easy to implement in practice, (iii) with clear statistic properties and (iv) applicable under more general assumptions about pricing formulae and error terms.

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Year of publication:	2013
Authors:	Xu, Zheng
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 3, p. 369-373
Publisher:	Elsevier
Subject:	Estimation \| Stochastic volatility \| Pricing formulae \| Option data

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010681762