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

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  • Xu, Zheng

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.

Suggested Citation

  • Xu, Zheng, 2013. "Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data," Economics Letters, Elsevier, vol. 120(3), pages 369-373.
    • Handle: RePEc:eee:ecolet:v:120:y:2013:i:3:p:369-373
    DOI: 10.1016/j.econlet.2013.05.017
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    References listed on IDEAS

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    More about this item

    Keywords

    Estimation; Stochastic volatility; Pricing formulae; Option data;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G1 - Financial Economics - - General Financial Markets

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