The role of additional information in option pricing: estimation issues for the state space model

DOI10.1007/s10614-010-9240-0zbMath1198.91243MaRDI QIDQ604920

John A. D. Aston, Cheng-Der Fuh, Ren-Her Wang

Publication date: 12 November 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9240-0

zbMATH Keywords

Kalman filter; particle filter; stochastic volatility model; volatility forecasting

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Markov chain Monte Carlo methods for stochastic volatility models.
• Sequential Monte Carlo Methods in Practice
• Inferring the Forward Looking Equity Risk Premium from Derivative Prices
• Practical Filtering with Sequential Parameter Learning
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Filtering via Simulation: Auxiliary Particle Filters
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Credit risk: Modelling, valuation and hedging