Empirical Assessment of an Intertemporal option Pricing Model with Latent variables

René Garcia, Richard Luger and Eric Renault

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.

Keywords: PRICING; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C10 G10 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2001
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Journal Article: Empirical assessment of an intertemporal option pricing model with latent variables (2003)
Working Paper: Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables (2001)
Working Paper: Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2001-10

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