Statistical Inference for Random-Variance Option Pricing

By Sergio Pastorello, É. Renault, Nizar Touzi. 2000

72 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/fd034ce70032790c6a8ea8cc270ff078304efb27

How researchers see this paper

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

In Finance

Citations in the corpus

A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000, methodology): “We also want to know how we can improve the statistical precision of di!usion parameters by incorporating options data as did Pastorello et al. (1994) , who used at-themoney implied volatilities, replacing latent spot volatility, to estimate the Hull and White (1987) model.3 Moreover, we also want ”
Parameter Estimation for a Discretely Observed Integrated Diffusion Process (2006, background): “Data may be obtained from option prices and their associated implied volatilities (see e.g. Pastorello et al., 1994) For fixed sampling interval , the exact distribution of (Ii , i ≤n) is difficult to compute except for few models.”
Simulation-Based Method of Moments and Efficiency (2002, background): “…by Broze et al. (1998); to the estimation of stochastic volatility models by Monfardini (1998), Calzolari, De Iori, and Firorentini (1998), and Pastorello, Renault, and Touzi (2000); to models of unemployment by Magnac, Robin, and Visser (1995), An and Liu (2000), and Topa (2001); and to…”
Estimation methods for stochastic volatility models: a survey (2004, methodology): “Gourieroux et al. (1993) propose the quasilikelihood function of Harvey et al. (1994) as an auxiliary criterion to estimate a continuous time SV process (Pastorello et al., 1994).”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “For example, QUADPACK [see Piessens et al. (1983)] which is a set of routines for performing numerical integration and that underlines many numerical software packages only compute one-dimensional integral.”
The jump-risk premia implicit in options: evidence from an integrated time-series study $ (2002, methodology): “example, Renault and Touzi (1996) propose an MLE-based two-step iterative procedure; Pastrorello et al. (1996) apply simulated method of moments (SMM) to time series of spot and option prices separately; Chernovand Ghysels (2000) adopt the SNP/EMM empirical strategy developed by Gallant and Tauche”
Estimating functions in indirect inference (2004, methodology): “Implicit statistical models (using the terminology of Diggle and Gratton (1984)) have been developed and applied in econometrics, finance and population dynamics (Gouriéroux and Monfort, 1996; MacKinnon and Smith, 1998; Corduas, 1997; Mealli and Rampichini, 1999; Calzolari et al., 2001; Schweder et ”