Testing the martingale restriction for option implied densities
From MaRDI portal
Publication:1025613
DOI10.1007/s11147-008-9024-zzbMath1163.91516OpenAlexW2034633197MaRDI QIDQ1025613
Publication date: 19 June 2009
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-008-9024-z
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Multiperiod security markets with differential information
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Empirical option pricing: A retrospection
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Nonparametric risk management and implied risk aversion
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- ADEQUACY OF ASYMPTOTIC THEORY FOR GOODNESS-OF-FIT CRITERIA FOR SPECTRAL DISTRIBUTIONS
- ON A METHOD OF DETERMINING WHETHER A SAMPLE OF SIZE n SUPPOSED TO HAVE BEEN DRAWN FROM A PARENT POPULATION HAVING A KNOWN PROBABILITY INTEGRAL HAS PROBABLY BEEN DRAWN AT RANDOM
- Arbitrage Theory in Continuous Time
- Do option markets correctly price the probabilities of movement of the underlying asset?
