Econometric Models of Option Pricing Errors
AbstractThis paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.
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Bibliographic InfoPaper provided by Toulouse - GREMAQ in its series Papers with number 96.407.
Length: 53 pages
Date of creation: 1996
Date of revision:
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ECONOMETRICS; MODELS; FINANCIAL MARKET;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"Nonparametric estimation of American options' exercise boundaries and call prices,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(11-12), pages 1829-1857, October.
- Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
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