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.MF2016
Volatility Inference and Return Dependencies in Stochastic Volatility Models
Oliver Pfante, Nils Bertschinger
Stochastic volatility models describe stock returns as driven by an unobserved process capturing the random dynamics of volatility . The present paper quantifies how muc…