Informative option portfolios in filter design for option pricing models
DOI10.1080/14697688.2020.1841907zbMATH Open1479.91412OpenAlexW3127912097MaRDI QIDQ5014228FDOQ5014228
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
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Cites Work
- The pricing of options and corporate liabilities
- A novel pricing method for European options based on Fourier-cosine series expansions
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- Optimal positioning in derivative securities
- Variance trading and market price of variance risk
- Parametric Inference and Dynamic State Recovery From Option Panels
- The term structure of equity and variance risk premia
- The fine structure of equity-index option dynamics
- What is beneath the surface? Option pricing with multifrequency latent states
- Inference for option panels in pure-jump settings
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