Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2011
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness-maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...
