Testing Option Pricing Models

Testing Option Pricing Models

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by David S. Bates

Venue:	Statistical Methods in Finance
Citations:	51 - 2 self

BibTeX

@INPROCEEDINGS{Bates_testingoption,
    author = {David S. Bates},
    title = {Testing Option Pricing Models},
    booktitle = {Statistical Methods in Finance},
    year = {},
    pages = {567--611}
}

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Abstract

pp.567-611. Contents

Citations

1903	The Pricing of Options and Corporate Liabilities - Black, Scholes - 1973
856	Large sample properties of generalized method of moments estimators - Hansen - 1982
761	A Theory of the Term Structure of Interest Rates - Cox, Ingersoll, et al. - 1985
442	A Closed-form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options”. Review of Financial Studies - Heston - 1993
428	A.: The Pricing of Options on Assets with Stochastic Volatilities - Hull, White - 1987
371	Option pricing when underlying stock returns are discontinuous - Merton - 1976
353	Conditional heteroskedasticity in asset returns: a new approach - Nelson - 1991
308	The valuation of options for alternative stochastic processes - Cox, Ross - 1976
219	Implied binomial trees - Rubinstein - 1994
218	The pricing of commodity contracts - Black - 1976
217	Studies of stock price volatility changes - Black - 1976
206	Jumps and stochastic volatility: exchange rate process implicit - Bates - 1996
173	An intertemporal general equilibrium model of asset prices.” Econometrica 53(March - Cox, Ingersoll, et al. - 1985
163	Pricing with a Smile - Dupire - 1994
159	Multivariate stochastic variance models - Harvey, Ruiz, et al. - 1994
158	Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis - Hansen, Hodrick - 1980
130	The Valuation of Uncertain Income Streams and the Pricing of Options. The Bell Journal of Economics 7:407–425 - Rubinstein - 1976
125	Efficient analytic approximation of american option values - Barone-Adesi, Whaley - 1987
123	and Spot Exchange Rates - Fama, “Forward
113	The crash of ’87: was it expected? The evidence from options markets - Bates - 1991
110	Pricing foreign currency options with stochastic volatility - Melino, Turnbull - 1990
108	ARCH models as diffusion approximations - Nelson - 1990
108	Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an - Scott - 1987
94	ARCH modeling in Finance - Bollerslev, Chou, et al. - 1992
86	Option values under stochastic volatility: Theory and empirical estimates - Wiggins - 1987
83	The informational content of implied volatility - Canina, Figlewski - 1993
79	Anomalies: Foreign Exchange,” The - Froot, Thaler - 1990
75	The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets - Hodrick - 1987
72	Stock Market Volatility and the Information Content of Stock Index Options - Day, Lewis - 1992
71	Riding on a smile - Derman, Kani - 1994
69	American option valuation: New bounds, approximations, and a comparison of existing methods - Broadie, Detemple - 1996
66	Non-Parametric Tests of Alternative Option Pricing Models using all Reported Trades and Quotes on the 30 most Active CBOE Option Classes from August 23 - Rubinstein - 1985
64	How markets process information: News releases and volatility’, The Journal of Finance XLVIII(4 - Ederington, Lee - 1993
64	The variance gamma (V.G.) model for share market returns - Madan, Seneta - 1990
60	The Extreme Value Method for Estimating the Variance of the Rate of Return - Parkinson
59	Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatilities - Lamoureux, Lastrapes - 1991
57	Options Markets - Cox, Rubenstein - 1985
56	Foreign currency option values - Garman, Kohlhagen - 1983
48	The valuation of options contracts and test of market efficiency - Black, Scholes - 1972
48	Predicting Volatility in the Foreign Exchange Market - Jorion - 1995
47	General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns,” The Review of Financial Studies - Naik, Lee - 1990
45	Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Application of Fourier Inversion Methods - Scott - 1997
43	Option pricing when the variance is changing - Johnson, Shanno - 1987
42	The persistence of volatility and stock market fluctuations - Poterba, Summers - 1986
39	Standard deviations implied in option prices as predictors of future stock price variability - Beckers - 1981
38	The Pricing of Contingent Claims in Discrete Time Models - Brennan - 1979
37	The quality of market volatility forecasts implied by S&P 100 index option prices - Fleming - 1998
37	On the Estimation of Security Price Volatilities From Historical Data - Garman, Klass - 1980
36	Pricing European currency options: A comparison of the modified Black-Scholes model and a random variance model - Chesney, Scott - 1989
36	A compound events model for security prices - Press - 1967