Informative option portfolios in filter design for option pricing models

DOI10.1080/14697688.2020.1841907zbMath1479.91412OpenAlexW3127912097MaRDI QIDQ5014228

Piotr Orlowski

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1841907

zbMATH Keywords

hedgingoption pricingfilter designunscented Kalman filteraffine jump diffusion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• Variance trading and market price of variance risk
• Post-'87 crash fears in the S\&P 500 futures option market
• The term structure of equity and variance risk premia
• What is beneath the surface? Option pricing with multifrequency latent states
• The fine structure of equity-index option dynamics
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Parametric Inference and Dynamic State Recovery From Option Panels
• Optimal positioning in derivative securities
• INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Informative option portfolios in filter design for option pricing models