Empirical assessment of an intertemporal option pricing model with latent variables

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 49-83

  Garcia, René ^a   Luger, Richard ^b   Renault, Eric ^a  

^a Canada H3A 2T7   (Canada)

^b BANK OF CANADA   (Canada)

Author keywords

Black Scholes implied volatility; Equilibrium option pricing; Recursive utility; Smile effect; Stochastic volatility

Indexed keywords

ELASTICITY; MARKOV PROCESSES; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STOCHASTIC CONTROL SYSTEMS;

EQUILIBRIUM OPTION PRICING; RECURSIVE UTILITY; STOCHASTIC VOLATILITY;

ECONOMICS;

EID: 0242268784     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00103-9     Document Type: Article

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