Specification tests of calibrated option pricing models

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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Frontiers in time series and financial econometrics: an overview ⋮ An improved least squares Monte Carlo valuation method based on heteroscedasticity

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The Pricing of Options and Corporate Liabilities
• The significance of testing empirical non-nested models
• Post-'87 crash fears in the S\&P 500 futures option market
• Infinitely divisible distributions, conditions for independence, and central limit theorems
• Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
• Efficient Derivative Pricing by the Extended Method of Moments
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Testing Non-Nested Nonlinear Regression Models
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form

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