1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.ST2023
iCOS: Option-Implied COS Method
Evgenii Vladimirov
This paper proposes the option-implied Fourier-cosine method, iCOS, for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities. The iCOS metho…
econ.EM2022★ 1 cited
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison betwee…