Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85)
AbstractA new methodology for statistically testing contingent claims asset-pricing models based on asymptotic statistical theory is developed. It is introduced in the context of the Black-Scholes-Merton option pricing model, for which some promising estimation, inference, and simulation results are also presented. The proposed methodology is then extended to arbitrary contingent claims by first considering the estimation problem for general Ito-processes and then deriving the asymptotic distribution of a general contingent claim which depends upon such an Ito-process.
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Bibliographic InfoPaper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 19-84.
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