Estimating and testing non‐affine option pricing models with a large unbalanced panel of options

DOI10.1111/j.1368-423X.2012.00372.xOpenAlexW1778092251MaRDI QIDQ5093183

Fabrizio Ferriani, Sergio Pastorello

Publication date: 26 July 2022

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2012.00372.x

zbMATH Keywords

importance samplingstochastic volatilityoption pricingsimulated maximum likelihoodjump-diffusiongeneralized residuals

Mathematics Subject Classification ID

Statistics (62-XX)

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