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Iterative estimation procedure for option pricing with stochastic volatility models

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  • F. Parpinel
  • C. Pizzi

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  • F. Parpinel & C. Pizzi, 2002. "Iterative estimation procedure for option pricing with stochastic volatility models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 211-223.
    • Handle: RePEc:mtn:ancoec:2002:1:15
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    File URL: https://www.dss.uniroma1.it/RePec/mtn/articoli/2002-LX-1_2-15.pdf
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    References listed on IDEAS

    as
    1. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
    2. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
    3. L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.
    4. Eric Renault & Nizar Touzi, 1996. "Option Hedging And Implied Volatilities In A Stochastic Volatility Model1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 279-302, July.
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