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