000	00000nam 2200000za 4500
001	9.848572
003	CaOODSP
005	20221107153717
007	cr |||||||||||
008	171211s2017    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-5/2017-55E-PDF
100	1 |aFeunou, Bruno.
245	10|aRisk-neutral moment-based estimation of affine option pricing models |h[electronic resource] / |cby Bruno Feunou and Cédric Okou.
260	|a[Ottawa] : |bBank of Canada, |c2017.
300	|aii, 59 p. : |bcharts (some col.)
490	1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-55
500	|a"December 2017."
504	|aIncludes bibliographical references (p. 23-35).
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.
546	|aIncludes abstract in French.
692	07|2gccst|aStock markets
692	07|2gccst|aAssets
692	07|2gccst|aPrices
692	07|2gccst|aStatistical analysis
700	1 |aOkou, Cédric.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-55|w(CaOODSP)9.806221
856	40|qPDF|s1.07 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-55-eng.pdf