Specification tests of calibrated option pricing models
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Publication:888333
DOI10.1016/J.JECONOM.2015.03.032zbMath1337.91146OpenAlexW3123399781MaRDI QIDQ888333
Simon Sai Man Kwok, Robert A. Jarrow
Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2123/9191
Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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