The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
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Publication:428367
DOI10.1155/2012/931609zbMath1245.91100OpenAlexW1966024889WikidataQ58911004 ScholiaQ58911004MaRDI QIDQ428367
Francesca Mariani, Lorella Fatone, Maria Cristina Recchioni, Francesco Zirilli
Publication date: 19 June 2012
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/931609
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
- Simultaneous statistical inference. 2nd ed
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
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