Computing option values by pricing kernel with a stochatic volatility model
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References listed on IDEAS
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Cited by:
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018.
"Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
- Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
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Keywords
Option pricing; Stochastic discount factor; Heston model; Particle Filter; Markov chain Monte Carlo; Expectation maximization.;All these keywords.
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