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Statistical inference for random-variance option pricing
Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367
Persistent link: https://www.econbiz.de/10001493867
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Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying : a comment
Pastorello, Sergio - In: Mathematical finance : an international journal of … 6 (1996) 1, pp. 111-117
Persistent link: https://www.econbiz.de/10001201642
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Estimating and testing non-affine option pricing models with a large unbalanced panel of options
Ferriani, Fabrizio; Pastorello, Sergio - In: The econometrics journal 15 (2012) 2, pp. 171-203
Persistent link: https://www.econbiz.de/10009614929
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Moment-based estimation of stochastic volatility models
Renault, Eric - In: Handbook of financial time series, (pp. 269-311). 2009
Persistent link: https://www.econbiz.de/10003833955
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Option hedging and implicit volatilities in a stochastic volatility model
Renault, Eric; Touzi, Nizar - 1993 - Rev
Persistent link: https://www.econbiz.de/10000874371
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Risk aversion, intertemporal substitution, and option pricing
Garcia, René; Renault, Eric - 1998
Persistent link: https://www.econbiz.de/10000984192
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Stochastic volatility
Ghysels, Eric - 1995
Persistent link: https://www.econbiz.de/10000929391
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Long memory in continuous time stochastic volatility models
Comte, Fabienne; Renault, Eric - 1996
Persistent link: https://www.econbiz.de/10000930699
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Stochastic volatility
Ghysels, Eric - 1996
Persistent link: https://www.econbiz.de/10001320263