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Empirical Assessment of an Intertemporal option Pricing Model with Latent variables

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  • Garcia, R.
  • Luger, R.
  • Renault, E.

Abstract

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

Suggested Citation

  • Garcia, R. & Luger, R. & Renault, E., 2001. "Empirical Assessment of an Intertemporal option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Handle: RePEc:mtl:montec:2001-10
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    More about this item

    Keywords

    PRICING ; FINANCIAL MARKET;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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