Statistical inference for random-variance option pricing

Keyphrases

• Statistical Inference 100%
• Option Pricing 100%
• Option Price 100%
• Variance Option 100%
• Random Variance 100%
• Ornstein-Uhlenbeck Process 50%
• Continuous-time 50%
• Model Estimation 50%
• Simple Strategy 50%
• Volatility 50%
• Monte Carlo Experiment 50%
• Computational Burden 50%
• Stochastic Volatility Model 50%
• Asset Prices 50%
• Option Pricing Model 50%
• Continuous-time Model 50%
• Overidentifying Restrictions 50%
• Volatility Risk Premium 50%
• Leverage Effect 50%
• Asymptotic Efficiency 50%
• Indirect Inference 50%
• Specification Issue 50%

Mathematics

• Variance 100%
• Inferential Statistics 100%
• Option Pricing 100%
• Option Price 66%
• Ornstein Uhlenbeck Process 33%
• Monte Carlo 33%
• Continuous Time 33%
• Discretization 33%
• Asset Price 33%
• Stochastic Volatility Model 33%
• Leverage Effect 33%
• Continuous Time Model 33%
• Asymptotic Efficiency 33%
• Indirect Inference 33%

Economics, Econometrics and Finance

• Pricing 100%
• Volatility 100%
• Continuous Time 66%
• Risk Premium 33%
• Mean Reversion 33%