Robust Estimation of Risk-Neutral Moments
نویسندگان
چکیده
منابع مشابه
Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility∗
In this paper, we present an estimation procedure which uses both option prices and highfrequency spot price feeds to estimate jointly the objective and risk-neutral parameters of stochastic volatility models. The procedure is based on a method of moments that uses analytical expressions for the moments of the integrated volatility and series expansions of option prices and implied volatilities...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3359656