Empirical assessment of an intertemporal option pricing model with latent variables.

DOI10.1016/S0304-4076(03)00103-9zbMath1041.62084MaRDI QIDQ1398969

Richard Luger, René Garcia, Eric Renault

Publication date: 7 August 2003

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

zbMATH Keywords

implied volatilityBlack-ScholesStochastic volatilityRecursive utilityEquilibrium option pricingSmile effect

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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