Statistical Inference for Random Variance Option Pricing

This paper deals with the estimation of continuous time stochastic volatility models of option pricing. We argue that option prices are much more informative about the parameters than asset prices. This is confirmed in a Monte Carlo experiment which compares two very simple strategies based on different information sets. Both appraoches are base on indirect inference, and avoid any discretization bias by simulating the continuous time mdel.

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Year of publication:	1997
Authors:	Pastorello, S. ; Renault, E. ; Touzi, N.
Subject:	PRICING \| EVALUATION

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Type of publication:	Book / Working Paper
Notes:	23 pages
Classification:	G12 - Asset Pricing ; C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671534