The Importance of the Loss Function in Option Pricing
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KeywordsOption pricing; implied volatility; practitioner Black-Scholes approach; pricing errors; loss functions; out-of-sample forecasting; parameter stability; Évaluation des options; volatilité implicite; approche Black-Scholes du praticien; erreurs d'évaluation; fonctions de perte; prévisions hors-échantillon; stabilité des paramètres;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FIN-2001-08-15 (Finance)
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