The Econometrics of Option Pricing
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Cited by:
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"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
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"Variation, jumps, market frictions and high frequency data in financial econometrics,"
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Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
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- Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, University Library of Munich, Germany.
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- Cyrus Ramezani & Yong Zeng, 2007. "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, vol. 3(4), pages 487-507, October.
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More about this item
Keywords
Stock PriceDynamics; Multivariate Jump-DiffusionModels; Latent variables; Stochastic Volatility; Objective and Risk Neutral Distributions; Nonparametric Option Pricing; Discretetime Option Pricing Models; Risk Neutral Valuation; Preference-free Option Pricing; Dynamique des prix d'actions; modèles de diffusion-sauts à plusieurs variables; variables latentes; volatilité stochastique; distributions objective et risque neutre; modèles nonparamétriques d'évaluation des options; modèles d'évaluation des options en temps discret; évaluation risque neutre; évaluation des options sans paramètres de préférence;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2004-02-08 (Corporate Finance)
- NEP-ECM-2004-02-08 (Econometrics)
- NEP-ETS-2004-02-08 (Econometric Time Series)
- NEP-FIN-2004-02-08 (Finance)
- NEP-FMK-2004-02-08 (Financial Markets)
- NEP-RMG-2004-02-08 (Risk Management)
Statistics
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