Parametric Inference and Dynamic State Recovery From Option Panels
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Publication:4614283
DOI10.3982/ECTA10719zbMath1419.91602MaRDI QIDQ4614283
Nicola Fusari, Viktor Todorov, Torben G. Andersen
Publication date: 30 January 2019
Published in: Econometrica (Search for Journal in Brave)
jumps; stochastic volatility; option pricing; inference; risk premia; specification testing; stable convergence; latent state vector
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
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