Microstructural biases in empirical tests of option pricing models

DOI10.1007/S11147-009-9039-0zbMath1189.91223OpenAlexW3121709065MaRDI QIDQ1037574

Stewart Mayhew, Patrick Dennis

Publication date: 16 November 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9039-0

zbMATH Keywords

microstructureoption pricingjump-diffusionrisk-neutral moments

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A bias in the volatility smile ⋮ VIX derivatives, hedging and vol-of-vol risk

Cites Work

• The Pricing of Options and Corporate Liabilities
• Empirical option pricing: A retrospection
• Post-'87 crash fears in the S\&P 500 futures option market
• Option pricing when underlying stock returns are discontinuous

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