An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects

DOI10.1080/14697688.2021.2023753zbMath1497.91307OpenAlexW4210846888MaRDI QIDQ5092641

Jimmy E. Hilliard, Jitka Hilliard, Yinan Ni

Publication date: 22 July 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.2023753

zbMATH Keywords

Kalman filterasset pricesoption pricesintrinsic valuedelta hedge

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing with an illiquid underlying asset market
• Option pricing under short-lived arbitrage: theory and tests
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• On Distributions of Certain Wiener Functionals
• Option pricing with illiquidity during a high volatile period
• Unnamed Item

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