Parametric inference and dynamic state recovery from option panels
by Torben G Andersen, Nicola Fusari and Viktor Todorov
| Year of publication: |
2015
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|---|---|
| Authors: | Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 83.2015, 3, p. 1081-1145
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| Subject: | option pricing | inference | risk premia | jumps | latent state vector | stochastic volatility | specification testing | stable convergence | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Modellierung | Scientific modelling | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011378591