Iterative estimation procedure for option pricing with stochastic volatility models

MaRDI QIDQ1395970zbMATH OpenFDO

Authors Francesca Parpinel, Claudio E. A. Pizzi

Publication date 15 December 2003

Published in Metron (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(2)

• Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
• Modelling asymmetric behaviour in time series: identification through PSO

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