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Econometric specification of the risk neutral valuation model

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  • Clément, E.
  • Gourieroux, Christian
  • Monfort, Alain

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Bibliographic Info

Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9706.

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Length: 37 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:cpm:cepmap:9706

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References

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  1. Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers, Stockholm - International Economic Studies 621, Stockholm - International Economic Studies.
  2. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers, Banque de France 47, Banque de France.
  3. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(1), pages 95-105.
  4. Peter A. Abken & Dilip B. Madan & Sailesh Ramamurtie, 1996. "Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options," Working Paper, Federal Reserve Bank of Atlanta 96-5, Federal Reserve Bank of Atlanta.
  5. F. Magnien & J.-L. Prigent & A. Trannoy, 1996. "Implied risk neutral probability measures on options markets : The L2 approach," THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 96-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  6. Malz, Allan M., 1996. "Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(5), pages 717-748, October.
  7. 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.
  8. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 289-311.
  9. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 77-105, January.
  10. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  11. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(3), pages 223-245.
  12. Stutzer, Michael, 1996. " A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1633-52, December.
  13. Gouriéroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997.
  14. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, American Finance Association, vol. 42(2), pages 281-300, June.
  15. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 20(3), pages 381-408, June.
  16. ROLIN, Jean-Marie, 1992. "Some useful properties of the Dirichlet process," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1992007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994. " A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, American Finance Association, American Finance Association, vol. 49(3), pages 851-89, July.
  18. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  19. repec:fth:louvco:9207 is not listed on IDEAS
  20. repec:fth:banfra:47 is not listed on IDEAS
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Citations

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Cited by:
  1. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(1), pages 1-41, January.
  2. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 4/02, Monash University, Department of Econometrics and Business Statistics.
  3. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, Elsevier, vol. 100(1), pages 41-51, January.
  4. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 16(3), pages 291-314, July.
  5. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 1/02, Monash University, Department of Econometrics and Business Statistics.

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