The Econometrics of Option Pricing
79 Pages Posted: 2 Jan 2004
Date Written: August 1, 2003
Abstract
The paper surveys the recent literature on the econometric analysis of option pricing models.
Keywords: Stock Price Dynamics, Multivariate Jump-Diffusion Models, Latent variables, Stochastic Volatility, Objective and Risk Neutral Distributions, Nonparametric Option Pricing, Discrete time Option Pricing Models, Risk Neutral Valuation, Preference-free Option Pricing
JEL Classification: C1, C5, G1
Suggested Citation: Suggested Citation
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