Drift estimation of generalized security price processes from high frequency derivative prices

DOI10.1023/A:1011383413977zbMATH Open1274.91435MaRDI QIDQ375335FDOQ375335

Gurupdesh S. Pandher

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

quasi-likelihood estimationasymptotic consistencyexcess returnFeynman-Kacmarket price of riskrisk-neutral pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cited In (2)

• Title not available (Why is that?)
• ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING

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