This paper has been announced in the following NEP Reports:

• NEP-ALL-2004-01-12 (All new papers)
• NEP-CFN-2004-01-12 (Corporate Finance)
• NEP-FIN-2004-01-12 (Finance)
• NEP-FMK-2004-01-12 (Financial Markets)
• NEP-RMG-2004-01-12 (Risk Management)

1. Hansen, Lars Peter & Jagannathan, Ravi, 1997. " Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-90, June. [Downloadable!] (restricted)
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2. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
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7. Peter Carr & Liuren Wu, 2003. "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, vol. 58(6), pages 2581-2610, December. [Downloadable!] (restricted)
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8. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
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9. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July. [Downloadable!] (restricted)
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19. 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)
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20. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April. [Downloadable!]
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22. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January. [Downloadable!] (restricted)
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25. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley. [Downloadable!]
26. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
27. Das, Sanjiv Ranjan & Sundaram, Rangarajan K., 1999. "Of Smiles and Smirks: A Term Structure Perspective," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(02), pages 211-239, June. [Downloadable!]
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30. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238. [Downloadable!] (restricted)
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Cited by:
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1. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
2. Claudia Ribeiro & Nick Webber, 2006. "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(4), pages 333-352, December. [Downloadable!] (restricted)
3. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September. [Downloadable!]
   Other versions:
   • Gonzalo Rubio & Eva Ferreira & Mónica Gago, 2003. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 200204, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
4. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, School of Economics and Management, University of Aarhus. [Downloadable!]
5. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, EconWPA. [Downloadable!]
   Other versions:
   • Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October. [Downloadable!] (restricted)
6. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Banco de España Working Papers 0504, Banco de España. [Downloadable!]
7. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA. [Downloadable!]
   Other versions:
   • Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May. [Downloadable!]
8. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO. [Downloadable!]
9. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Documents de Travail 188, Banque de France. [Downloadable!]
   Other versions:
   • Henri Bertholon ; Alain Monfort ; Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique, revised 2006. [Downloadable!]
10. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, School of Economics and Management, University of Aarhus. [Downloadable!]
11. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany. [Downloadable!]