Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999

Posted: 7 Apr 1999

See all articles by Mikhail Chernov

Mikhail Chernov

UCLA Anderson

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Abstract

The paper complements the reviews on the stochastic volatility models and option pricing. We discuss recent advances in modeling and estimation techniques which allow to investigate models with latent factors and non-unique risk-neutral probability measures. The issues related to the optimal data utilization and volatility filtering are highlighted. We also discuss some of the future research in this area.

Note: This is a description of the paper and not the actual abstract.

JEL Classification: G13, C32, C51

Suggested Citation

Chernov, Mikhail and Ghysels, Eric, Estimation of Stochastic Volatility Models for the Purpose of Option Pricing. Proceedings of the Sixth International Conference on Computational Finance, Leonard N. Stern School of Business, January 6-8, 1999, Available at SSRN: https://ssrn.com/abstract=158229

Mikhail Chernov (Contact Author)

UCLA Anderson ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://www.unc.edu/~eghysels/

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