Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Vladimirov, Evgenii"'
Autor:
Vladimirov, Evgenii
This paper proposes the option-implied Fourier-cosine method, iCOS, for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities. The iCOS method leverages the Fourier-based COS technique, proposed by Fang and Oost
Externí odkaz:
http://arxiv.org/abs/2309.00943
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-
Externí odkaz:
http://arxiv.org/abs/2210.06217
Publikováno v:
In Journal of Econometrics August 2024 244(1)
Autor:
Hakan Eratalay, M.1 hakan.eratalay@ut.ee, Vladimirov, Evgenii V.2
Publikováno v:
Economics of Transition & Institutional Change. Oct2020, Vol. 28 Issue 4, p581-620. 40p. 6 Diagrams, 11 Charts, 8 Graphs.
Autor:
Eratalay, M. Hakan1 hakan.eratalay@ut.ee, Vladimirov, Evgenii V.2 e.vladimirov@tinbergen.nl
Publikováno v:
University of Tartu - Faculty of Economics & Business Administration Working Paper Series. 2018, Issue 111, p1-46. 46p.
This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::c44bda437bf0f3b168417ed551b8c59f
https://hdl.handle.net/10419/248770
https://hdl.handle.net/10419/248770
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