Models for option pricing based on empirical characteristic function of returns

Karol Binkowski, Andrzej Kozek

    Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review

    Original languageEnglish
    Title of host publicationBanach Center Publications, Vol 90
    Subtitle of host publicationStability in Probability
    EditorsJ. Misiewicz
    Place of PublicationPoland
    PublisherInstitute of Mathematics Polish Academy of Sciences (IM PAN)
    Pages13-26
    Number of pages14
    ISBN (Print)9788386806096
    DOIs
    Publication statusPublished - 2010
    EventInternational Seminar on Stability Problems for Stochastic Models - Zakopane, Poland
    Duration: 31 May 20095 Jun 2009

    Seminar

    SeminarInternational Seminar on Stability Problems for Stochastic Models
    CityZakopane, Poland
    Period31/05/095/06/09

    Keywords

    • option pricing
    • characteristic function
    • empirical characteristic function
    • model fit
    • implied parameters

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