DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT

DOI10.1111/J.1467-9965.1996.TB00114.XzbMath0913.62099OpenAlexW2064518267MaRDI QIDQ4226857

Sergio Pastorello

Publication date: 10 June 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00114.x

zbMATH Keywords

stochastic volatilityinstrumental variables estimationdiffusion coefficient estimatorstrong Ito-Taylor approximations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Optimal robust mean-variance hedging in incomplete financial markets

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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