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Econometric models of option pricing errors
Renault, Eric - 1997
Persistent link: https://www.econbiz.de/10001328730
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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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Semi-parametric estimation of American option prices
Gagliardini, Patrick; Ronchetti, Diego - 2010
We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework. The estimator is based on a parametric specification of the stochasticdiscount factor and is non-parametric w.r.t. the historical dynamics of the state variables. The...
Persistent link: https://www.econbiz.de/10008798293
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Semi-parametric estimation of American option prices
Gagliardini, Patrick; Ronchetti, Diego - In: Journal of econometrics 173 (2013) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10009719634
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Option hedging and implicit volatilities in a stochastic volatility model
Renault, Eric; Touzi, Nizar - 1993 - Rev
Persistent link: https://www.econbiz.de/10000874371
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Statistical inference for random variance option pricing
Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997
Persistent link: https://www.econbiz.de/10000984169
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Risk aversion, intertemporal substitution, and option pricing
Garcia, René; Renault, Eric - 1998
Persistent link: https://www.econbiz.de/10000984192
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Calibration by simulation for small sample bias correction
Gouriéroux, Christian; Renault, Eric; Touzi, Nizar - 1995
Persistent link: https://www.econbiz.de/10000924119
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Option hedging and implied volatilities in a stochastic volatility model
Renault, Eric - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 279-302
Persistent link: https://www.econbiz.de/10001208961
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A note on hedging in ARCH and stochastic volatility option pricing models
Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161
Persistent link: https://www.econbiz.de/10001242838