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

DOI10.1023/A:1011383413977MaRDI QIDQ375335zbMATH OpenFDO

Authors 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)

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• Drift and the risk-free rate
• Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
• ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING
• scientific article; zbMATH DE number 6002089 (Why is no real title available?)
• Drift in transaction-level asset price models

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