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)
jumpsstochastic volatilityoption pricinginferencerisk premiaspecification testingstable convergencelatent state vector
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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