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
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: Suggested Citation