Option-implied filtering: evidence from the GARCH option pricing model
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DOI: 10.1007/s11156-019-00816-5
Abstract: One crucial task of option price modeling is to estimate latent state variables. This paper emphasizes the importance of incorporating option implied information to update latent state variables and sheds light on numerical developments to… read more here.
Keywords: implied filtering; model; option pricing; option ... See more keywords