Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data

Zheng Xu

Economics Letters, 2013, vol. 120, issue 3, 369-373

Abstract: This article provides a procedure for the estimation of parametric homogeneous stochastic volatility (SV) pricing formulae based on option data. Our estimator has the advantage of being (i) based on option data, (ii) easy to implement in practice, (iii) with clear statistic properties and (iv) applicable under more general assumptions about pricing formulae and error terms.

Keywords: Estimation; Stochastic volatility; Pricing formulae; Option data (search for similar items in EconPapers)
JEL-codes: C1 C2 G1 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:3:p:369-373

DOI: 10.1016/j.econlet.2013.05.017

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