Econometric specification of the risk neutral valuation model

DOI10.1016/S0304-4076(99)00019-6zbMath0959.62096OpenAlexW2238505866MaRDI QIDQ1969816

Yanyan Li

Publication date: 1 May 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00019-6

zbMATH Keywords

option pricingBlack-Scholes modelrisk neutral valuation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Financial econometrics: Past developments and future challenges

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Simulation-based inference. A survey with special reference to panel data models
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• Prior distributions on spaces of probability measures
• Some Simple Gamma Variate Generators
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Arbitrage with Fractional Brownian Motion
• A Representation of Independent Increment Processes without Gaussian Components

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