00000nam 2200000za 4500 9.848572 CaOODSP 20221107153717 cr ||||||||||| 171211s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-55E-PDF Feunou, Bruno. Risk-neutral moment-based estimation of affine option pricing models [electronic resource] / by Bruno Feunou and Cédric Okou. [Ottawa] : Bank of Canada, 2017. ii, 59 p. : charts (some col.) Bank of Canada staff working paper, 1701-9397 ; 2017-55 "December 2017." Includes bibliographical references (p. 23-35). “This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. We find that fitting the Andersen, Fusari, and Todorov (2015b) option valuation model to risk-neutral moments captures the bulk of the information in option prices. Our estimation strategy is effective, easy to implement, and robust, as it allows for a direct linear filtering of the latent factors and a quasi-maximum likelihood estimation of model parameters. From a practical perspective, employing risk-neutral moments instead of option prices also helps circumvent several sources of numerical errors and substantially lessens the computational burden inherent in working with a large panel of option contracts"--Abstract, p. ii. Includes abstract in French. gccst Stock markets gccst Assets gccst Prices gccst Statistical analysis Okou, Cédric. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-55 (CaOODSP)9.806221 PDF 1.07 MB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-55-eng.pdf