Informative option portfolios in filter design for option pricing models

Orlowski, P

Orlowski, P (corresponding author), HEC Montreal, 3000 Chemin Cote St Catherine, Montreal, PQ H3T 2A7, Canada.

QUANTITATIVE FINANCE, ; ():

Abstract

Option pricing models are tools for pricing and hedging derivatives. Good models are complex and the econometrician faces many design decisions when b......

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