Parametric Inference and Dynamic State Recovery From Option Panels
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Cited in
(28)- Testing for self-excitation in jumps
- Efficient estimation and filtering for multivariate jump-diffusions
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- Nonparametric spot volatility from options
- Unified inference for nonlinear factor models from panels with fixed and large time span
- Time-varying jump tails
- Spatial dependence in option observation errors
- Informative option portfolios in filter design for option pricing models
- Estimating and testing non-affine option pricing models with a large unbalanced panel of options
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Inference for option panels in pure-jump settings
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Option pricing under stochastic volatility models with latent volatility
- Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
- Volatility of volatility and leverage effect from options
- Semiparametric estimation of latent variable asset pricing models
- Nonparametric Option Pricing with Generalized Entropic Estimators
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- Variance swaps with mean reversion and multi-factor variance
- The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
- Estimating option pricing models using a characteristic function-based linear state space representation
- Intraday volatility patterns from short-dated options
- Testing for anticipated changes in spot volatility at event times
- Merged LSTM-MLP for option valuation
- An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities
- Analytical approximations for American option pricing under regime-switching models
- Testing for Asset Price Bubbles Using Options Data
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