9 citations · 14 across the 6 of their papers we have counts for
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q-fin.ST2016
Uncertainty Estimates in the Heston Model via Fisher Information
Oliver Pfante, Nils Bertschinger
We address the information content of European option prices about volatility in terms of the Fisher information matrix. We assume that observed option prices are centred on the th…
q-fin.ST2015
Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach
Nils Bertschinger, Oliver Pfante
Stochastic volatility models describe asset prices as driven by an unobserved process capturing the random dynamics of volatility . Here, we quantify how much informatio…