On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach
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Publication:4990515
DOI10.1137/19M1266915zbMath1466.91325OpenAlexW3113152298MaRDI QIDQ4990515
Marie-Ève Malette, Geneviève Gauthier, Jean-François Bégin, Diego Amaya
Publication date: 28 May 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1266915
optionsparticle filterrealized measuresoption realized variancesequential importance resamplingstochastic volatility jump-diffusion
Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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