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| 02193nam 2200337za 4500 |
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| 001 | 9.848572 |
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| 003 | CaOODSP |
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| 005 | 20221107153717 |
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| 007 | cr ||||||||||| |
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| 008 | 171211s2017 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2017-55E-PDF |
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| 100 | 1 |aFeunou, Bruno. |
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| 245 | 10|aRisk-neutral moment-based estimation of affine option pricing models |h[electronic resource] / |cby Bruno Feunou and Cédric Okou. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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| 300 | |aii, 59 p. : |bcharts (some col.) |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-55 |
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| 500 | |a"December 2017." |
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| 504 | |aIncludes bibliographical references (p. 23-35). |
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| 520 | 3 |a“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. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aStock markets |
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| 692 | 07|2gccst|aAssets |
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| 692 | 07|2gccst|aPrices |
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| 692 | 07|2gccst|aStatistical analysis |
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| 700 | 1 |aOkou, Cédric. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-55|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.07 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-55-eng.pdf |
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