INFERENCE for OPTION PANELS in PURE-JUMP SETTINGS
We develop parametric inference procedures for large panels of noisy option data in a setting, where the underlying process is of pure-jump type, i.e., evolves only through a sequence of jumps. The panel consists of options written on the underlying asset with a (different) set of strikes and maturi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press
2019
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| Online Access: | View Fulltext in Publisher |