Empirical option pricing: a retrospection
- 1 September 2003
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 116 (1-2) , 387-404
- https://doi.org/10.1016/s0304-4076(03)00113-1
Abstract
No abstract availableKeywords
This publication has 56 references indexed in Scilit:
- Empirical reverse engineering of the pricing kernelJournal of Econometrics, 2003
- Purebred or hybrid?: Reproducing the volatility in term structure dynamicsJournal of Econometrics, 2003
- Alternative models for stock price dynamicsJournal of Econometrics, 2003
- The dynamics of stochastic volatility: evidence from underlying and options marketsJournal of Econometrics, 2003
- An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption pricesJournal of Econometrics, 2003
- Empirical pricing kernelsJournal of Financial Economics, 2002
- Implied volatility surfaces: uncovering regularities for options on financial futuresThe European Journal of Finance, 2001
- Specification Analysis of Affine Term Structure ModelsThe Journal of Finance, 2000
- Nonparametric risk management and implied risk aversionJournal of Econometrics, 2000
- The Valuation of Option Contracts and a Test of Market EfficiencyThe Journal of Finance, 1972