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Spanning and derivative-security valuation

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Author Info
Bakshi, Gurdip
Madan, Dilip
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File URL: http://www.sciencedirect.com/science/article/B6VBX-3YDGBWK-3/2/935f84252c24cce95e1e12dd9f30e815
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 55 (2000)
Issue (Month): 2 (February)
Pages: 205-238
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Handle: RePEc:eee:jfinec:v:55:y:2000:i:2:p:205-238

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
    Other versions:
  2. Noureddine Krichene, 2004. "Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices," IMF Working Papers 04/196, International Monetary Fund. [Downloadable!]
  3. Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007. [Downloadable!]
  4. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
  6. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
  7. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  9. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  10. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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