Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference45 articles.
1. The risk premia embedded in index options;Andersen;Journal of Financial Economics,2015
2. Particle Markov chain Monte Carlo;Andrieu;Journal of the Royal Statistical Society. Series B,2010
3. Stock return characteristics, skew laws and the differential pricing of individual equity options;Bakshi;Review of Financial Studies,2003
4. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets;Bardgett;Journal of Financial Economics,2019
5. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics;Barndorff-Nielsen;Journal of the Royal Statistical Society: Series B.,2001
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility;Research in International Business and Finance;2024-06
2. Exact Simulation of the Multifactor Ornstein–Uhlenbeck Driven Stochastic Volatility Model;SIAM Journal on Scientific Computing;2024-05-02
3. Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing;Quantitative Energy Finance;2024
4. Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach;Mathematics;2023-09-02
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3