Maximum Likelihood Estimation of Latent Affine Processes

140 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Demand-Based Option Pricing (2009, background): “Building on the seminal contributions of Black and Scholes (1973) and Merton (1973), a large literature develops various parametric implementations of the theory.”
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (2014, unknown): “In particular, the Bates formula [1] will be adopted for comparison purposes.”
The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “We again use the approximate MLE of Bates (2006) to estimate the model parameters.”
Realizing smiles: Options pricing with realized volatility (2013, unknown): “…a variety of models have been developed to include jumps in returns (see Merton (1976), Bates (1996), Bates (2000), Pan (2002), Huang (2004) and Bates (2006) in continuous-time and Maheu and McCurdy (2004), Duan et al. (2006) and Christoffersen et al. (2010b) in discrete-time) and jumps in…”
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012, unknown): “…lz 1 2 hz,tþ1þðly xÞhy,tþ1 þztþ1þytþ1, ð1Þ 1 For other empirical estimates of jump processes in the SVJ literature using returns and/or options, see, for example, Bates (2000, 2006), Andersen, Benzoni, and Lund (2002), Pan (2002), Huang and Wu (2004), Eraker, Johannes, and Polson (2003),…”