Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility∗
نویسندگان
چکیده
In this paper, we present an estimation procedure which uses both option prices and highfrequency spot price feeds to estimate jointly the objective and risk-neutral parameters of stochastic volatility models. The procedure is based on a method of moments that uses analytical expressions for the moments of the integrated volatility and series expansions of option prices and implied volatilities. This results in an easily implementable and rapid estimation technique.
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تاریخ انتشار 2006