Title: Transition density non-Gaussian CARMA models: Estimation and option pricing
Authors: Lorenzo Mercuri - University of Milan (Italy) [presenting]
Abstract: It is shown how to approximate the transition density of a CARMA(p,q) model driven by means of a time-changed Brownian motion based on the Gauss-Laguerre quadrature. This approach allows us to introduce an estimation method that maximizes a likelihood function constructed using the approximated transition density. We also provide analytical formulas for the futures term structure and for option prices on futures when the underlying follows an exponential CARMA(p,q) model.