Informative option portfolios in filter design for option pricing models

DOI10.1080/14697688.2020.1841907MaRDI QIDQ5014228zbMATH OpenOpenAlexFDO

Authors Piotr Orlowski

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1841907

zbMATH Keywords

option pricinghedgingfilter designunscented Kalman filteraffine jump diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• A novel pricing method for European options based on Fourier-cosine series expansions
• Inference for option panels in pure-jump settings
• Optimal positioning in derivative securities
• Option pricing when underlying stock returns are discontinuous
• Parametric Inference and Dynamic State Recovery From Option Panels
• Post-'87 crash fears in the S\&P 500 futures option market
• The fine structure of equity-index option dynamics
• The pricing of options and corporate liabilities
• The term structure of equity and variance risk premia
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variance trading and market price of variance risk
• What is beneath the surface? Option pricing with multifrequency latent states

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