Spatial dependence in option observation errors
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Cites work
- A central limit theorem for m-dependent random variables with unbounded m
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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Cited in
(6)- Bias reduction in spot volatility estimation from options
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- Testing for parameter instability and structural change in persistent predictive regressions
- Intraday volatility patterns from short-dated options
- Testing for anticipated changes in spot volatility at event times
- Estimating option pricing models using a characteristic function-based linear state space representation
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