22-075/III - Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation

  • Authors
    H. Peter Boswijk, University of Amsterdam; Roger J. A. Laeven, University of Amsterdam; Evgenii Vladimirov, University of Amsterdam
  • Publication date
    October 13, 2022
  • Keywords
    Options, Characteristic Function, Affine Jump-Diffusion, State Space Representation
  • JEL
    C13, C58, G13, C32, G01