What is beneath the surface? Option pricing with multifrequency latent states

DOI10.1016/j.jeconom.2015.02.034zbMath1337.62320OpenAlexW3121480345MaRDI QIDQ2347726

Adlai J. Fisher, Marcus Fearnley, Laurent E. Calvet, Markus Leippold

Publication date: 8 June 2015

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

Full work available at URL: https://www.zora.uzh.ch/id/eprint/111972/1/SSRN-id2171734.pdf

zbMATH Keywords

stochastic volatilityoption pricingparticle filterregime-switchingjump-risk premiumMarkov-switching multifractal

Mathematics Subject Classification ID

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

Related Items (5)

Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression ⋮ A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Informative option portfolios in filter design for option pricing models ⋮ Econometric analysis of financial derivatives: an overview

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