Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
暂无分享,去创建一个
[1] G. Debreu,et al. Theory of Value , 1959 .
[2] K. Arrow. The Role of Securities in the Optimal Allocation of Risk-bearing , 1964 .
[3] F. Black,et al. The Valuation of Option Contracts and a Test of Market Efficiency , 1972 .
[4] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[5] S. Ross,et al. The valuation of options for alternative stochastic processes , 1976 .
[6] S. Ross. Options and Efficiency , 1976 .
[7] Mark Rubinstein,et al. The Valuation of Uncertain Income Streams and the Pricing of Options , 1976 .
[8] Douglas T. Breeden,et al. Prices of State-Contingent Claims Implicit in Option Prices , 1978 .
[9] M. Rubinstein.. Nonparametric tests of alternative option pricing models using all reported trades and quotes on the , 1985 .
[10] Merton H. Miller,et al. Prices for State-contingent Claims: Some Estimates and Applications , 1978 .
[11] R. Lucas. ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .
[12] Mark B. Garman,et al. The pricing of supershares , 1978 .
[13] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .
[14] R. Jarrow,et al. APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES , 1982 .
[15] George M. Constantinides,et al. Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation , 1982 .
[16] A. Friedman. Partial Differential Equations of Parabolic Type , 1983 .
[17] Darrell Duffie,et al. Implementing Arrow-Debreu equilbria by continuous trading of a few long-lived securities , 1985 .
[18] Lars Peter Hansen,et al. THE ROLE OF CONDITIONING INFORMATION IN DEDUCING TESTABLE RESTRICTIONS IMPLIED BY DYNAMIC ASSET PRICING MODELS1 , 1987 .
[19] Ravi Jagannathan,et al. Implications of Security Market Data for Models of Dynamic Economies , 1990, Journal of Political Economy.
[20] Campbell R. Harvey,et al. S&P 100 Index Option Volatility , 1991 .
[21] D. H. Goldenberg. A unified method for pricing options on diffusion processes , 1991 .
[22] Campbell R. Harvey,et al. Market volatility prediction and the efficiency of the S & P 100 index option market , 1992 .
[23] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[24] Hayne E. Leland,et al. On Equilibrium Asset Price Processes , 1993 .
[25] Dilip B. Madan,et al. CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS , 1994 .
[26] M. Rubinstein.. Implied Binomial Trees , 1994 .
[27] Jacob Boudoukh,et al. Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach , 1995 .
[28] F. Longstaff. Option Pricing and the Martingale Restriction , 1995 .
[29] Thomas W. Miller,et al. Daily and Intradaily Tests of European Put-Call Parity , 1995, Journal of Financial and Quantitative Analysis.
[30] Yacine Ait-Sahalia. Testing Continuous-Time Models of the Spot Interest Rate , 1995 .
[31] M. Stutzer. A Simple Nonparametric Approach to Derivative Security Valuation , 1996 .
[32] A. Lo,et al. THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.
[33] Jeff Fleming,et al. Implied volatility functions: empirical tests , 1996 .
[34] Yacine Aït-Sahalia. Nonparametric Pricing of Interest Rate Derivative Securities , 1996 .
[35] M. Rubinstein.,et al. Recovering Probability Distributions from Option Prices , 1996 .
[36] David S. Bates. Post-&Apos;87 Crash Fears in S&P 500 Futures Options , 1997 .