Testing Option Pricing Models

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by David S. Bates
Venue:Statistical Methods in Finance
Citations:59 - 2 self

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THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
165 Post-'87 Crash Fears in the S&P 500 Futures Option Market – David S. Bates, David S. Bates - 1998
1 Essays in Financial Econometrics – Mikhail Chernov - 2000
17 The Risk Premium of Volatility Implicit in Currency Options – Dajiang Guo, Centre Risk Advisors - 1998
213 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – J. Jiang, Pieter J. van der Sluis, George J. Jiang - 2000
The Journal Of Finance Vol. Lii, No. 2 June 1997 – Equilibrium Valuation Of, Gurdip S. Bakshi, Zhiwu Chen - 1997
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000
74 A Study towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation – Mikhail Chernov, Eric Ghysels, Roger Lee, Especially Ron Gallant, Insightful Discussions We - 1999
and methods in financial econometrics Contents – Zhibiao Zhao - 801
17 Which GARCH Model for Option Valuation – Peter Christoffersen, Kris Jacobs - 2004
80 New Insights Into Smile, Mispricing and Value At Risk: The Hyperbolic Model – Ernst Eberlein, Ulrich Keller, Karsten Prause - 1998
197 The Variance Gamma Process and Option Pricing. – Dilip B. Madan, Peter Carr, Eric C. Chang - 1998
THIS IS A DRAFT: PLEASE DO NOT DISTRIBUTE – Prasad Chalasani, C Copyright Steven E. Shreve
38 Derivative asset analysis in models with level-dependent and stochastic volatility – Rüdiger Frey - 1996
28 Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes – Jing-zhi Huang, Liuren Wu - 2003
Is volatility priced? – Yueh-neng Lin, Ken Hung - 2008
The Role of Issuers ’ Credit Ratings in Dynamic Warrants Pricing – Ming-hsien Chen, Yin-feng Gau