Parametric Inference and Dynamic State Recovery from Option Panels

Torben G. Andersen, Nicola Fusari, Viktor Todorov

NBER Working Paper No. 18046
Issued in May 2012

---- Acknowledgements -----

Andersen gratefully acknowledges support from CREATES funded by the Danish National Research Foundation. Todorov's work was partially supported by NSF Grant SES-0957330. We are also grateful for support from the Zell Center for Risk at the Kellogg School. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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