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Prices for State-contingent Claims: Some Estimates and Applications

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Author Info
Banz, Rolf W
Miller, Merton H

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File URL: http://links.jstor.org/sici?sici=0021-9398%28197810%2951%3A4%3C653%3APFSCSE%3E2.0.CO%3B2-L&origin=repec
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Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 51 (1978)
Issue (Month): 4 (October)
Pages: 653-72
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Handle: RePEc:ucp:jnlbus:v:51:y:1978:i:4:p:653-72

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  1. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee. [Downloadable!]
  3. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta). [Downloadable!]
  5. 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:
  6. Bhupinder Bahra, . "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England. [Downloadable!]
  7. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
  8. Marco Avellaneda, Craig Friedman, Richard Holmes, Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(1), pages 37-64, March. [Downloadable!] (restricted)
  9. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
  10. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society. [Downloadable!]
  11. Bruce N. Lehmann, 2005. "Notes for a Contingent Claims Theory of Limit Order Markets," NBER Working Papers 11533, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Frank Milne & Dilip Madan, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Papers 1158, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  13. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
  14. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA. [Downloadable!]
    Other versions:
  15. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 385-403, November. [Downloadable!]
  16. A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September. [Downloadable!] (restricted)
  17. Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  18. Jackwerth, Jens Carsten, 1999. "Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review," MPRA Paper 11634, University Library of Munich, Germany. [Downloadable!]
  19. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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