Testing the martingale restriction for option implied densities
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 11 (2008)
Issue (Month): 1 (March)
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Web page: http://www.springerlink.com/link.asp?id=102989
Density forecasting; Hypothesis testing; Option implied densities; Risk management; Time series; C12; C52; C53; G13;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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