Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter

DOI10.1080/07474930701220584zbMath1112.62118OpenAlexW2125179223MaRDI QIDQ5292355

Catherine S. Forbes, Gael M. Martin, J. D. Wright

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701220584

zbMATH Keywords

option pricingMarkov chain Monte Carlononlinear state space modelSavage-Dickey density ratiomulti-move samplervolatility risk

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (3)

Option pricing in an exponential mixedts Lévy process ⋮ Probabilistic forecasts of volatility and its risk premia ⋮ Measuring expectations in options markets: an application to the S&P500 index

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayes factors and nonlinearity: Evidence from economic time series
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Markov chains for exploring posterior distributions. (With discussion)
• Bayesian analysis of contingent claim model error
• Post-'87 crash fears in the S\&P 500 futures option market
• A Theory of the Term Structure of Interest Rates
• Sampling-Based Approaches to Calculating Marginal Densities
• Using simulation methods for bayesian econometric models: inference, development,and communication
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Likelihood analysis of non-Gaussian measurement time series
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• The simulation smoother for time series models
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Implicit Bayesian Inference Using Option Prices
• American option pricing under GARCH by a Markov chain approximation

This page was built for publication: Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter