Microstructural biases in empirical tests of option pricing models
type: Item
instance of: scholarly article
title: Microstructural biases in empirical tests of option pricing models
zbMATH Open document ID: 1189.91223
author: Patrick Dennis
author: Stewart Mayhew
published in: Review of Derivatives Research
publication date: 2009-11-16T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5633539
zbMATH Keywords: option pricing
zbMATH Keywords: microstructure
zbMATH Keywords: jump-diffusion
zbMATH Keywords: risk-neutral moments
MaRDI profile type: Publication
full work available at URL: s11147-009-9039-0
OpenAlex ID: W3121709065
cites work: Post-'87 crash fears in the S\&P 500 futures option market
cites work: Empirical option pricing: A retrospection
cites work: The pricing of options and corporate liabilities
cites work: Option pricing when underlying stock returns are discontinuous
DOI: 10.1007/S11147-009-9039-0
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description: scientific article; zbMATH DE number 5633539