Empirical option pricing: A retrospection

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 387-404

  Bates, David S ^a,b  

^a UNIVERSITY OF IOWA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Affine models; Derivatives; Option pricing; Risk neutral distributions; Time series analysis

Indexed keywords

COSTS; RANDOM PROCESSES; RESEARCH; RISK MANAGEMENT; TIME SERIES ANALYSIS;

AFFINE MODELS; OPTION PRICING;

ECONOMICS;

EID: 0347985223     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00113-1     Document Type: Article

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