Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Fast Filtering with Large Option Panels: Implications for Asset Pricing
Arnaud Dufays, Kris Jacobs, Yuguo Liu, and Jeroen Rombouts ♦ 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 using large option panels. We propose…