Estimating option pricing models using a characteristic function-based linear state space representation

DOI10.1016/J.JECONOM.2024.105864MaRDI QIDQ6664638FDOQ6664638

Authors: H. Peter Boswijk, Roger J. A. Laevent, Evgenii Vladimirov 

Publication date: 16 January 2025

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

characteristic functionoptionsstate space representationaffine jump-diffusion

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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