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

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

Authors: Gurupdesh S. Pandher 

Publication date: 29 October 2013

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

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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 (5)

• Drift in transaction-level asset price models
• Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
• Title not available (Why is that?)
• Drift and the risk-free rate
• ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING

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