What Type of Process Underlies Options? A Simple Robust Test
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Other versions of this item:
- 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.
More about this item
KeywordsJumps; continuous martingale; option pricing; Levy density; double tails; local time.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-09-11 (All new papers)
- NEP-ETS-2002-09-11 (Econometric Time Series)
- NEP-FMK-2002-09-11 (Financial Markets)
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