Estimation of objective and risk-neutral distributions based on moments of integrated volatility
From MaRDI portal
Publication:737258
Recommendations
- Estimation of integrated volatility in stochastic volatility models
- Moment–Based Estimation of Stochastic Volatility Models
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Efficient estimation of integrated volatility and related processes
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Risk-parameter estimation in volatility models
- Parametric estimation of risk neutral density functions
- Nonparametric estimation of risk-neutral densities
Cites work
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Alternative models for stock price dynamics.
- Contingent claims and market completeness in a stochastic volatility model.
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Modeling and Forecasting Realized Volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Post-'87 crash fears in the S\&P 500 futures option market
- Power Variation and Time Change
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Temporal aggregation of volatility models
- The Distribution of Realized Exchange Rate Volatility
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(21)- Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
- What is beneath the surface? Option pricing with multifrequency latent states
- Iterative estimation procedure for option pricing with stochastic volatility models
- ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING
- Estimating and testing non-affine option pricing models with a large unbalanced panel of options
- A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- An option pricing formula for the GARCH diffusion model
- A new representation of the risk-neutral distribution and its applications
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
- Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Probabilistic forecasts of volatility and its risk premia
- Econometric analysis of jump-driven stochastic volatility models
- Realized volatility forecasting and market microstructure noise
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
This page was built for publication: Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737258)
