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Fast Filtering with Large Option Panels: Implications for Asset Pricing

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URL
https://research-center.amundi.com/article/fast-filtering-large-option-panels-implications-asset-pricing
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Author
DUFAYS Arnaud, JACOBS Kris, LIU Yuguo, ROMBOUTS Jeroen V.K.
Date
2022/10/04
Property
Integromat
Description
The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models with latent state variables is challenging when us ...
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