Information content of cross-sectional option prices: A comparison of alternative currency option pricing models on the japanese yen

Journal of Futures Markets

Volumn 26, Issue 1, 2006, Pages 33-59

  Dupoyet, Brice ^a  

^a FLORIDA INTERNATIONAL UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 32944467557     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20177     Document Type: Article

References (15)

1. Ait-Sahalia, Y. (1996). Nonparametric pricing of interest rate derivative securities. Econometrica, 64, 527-560.
2. Bakshi, G., & Cao, C. (2004). Disentangling the contribution of return-jumps and volatility-jumps on individual equity option prices (working paper). Pennsylvania State University and the University of Maryland.
3. Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52, 2003-2049.
4. Bakshi, G., Kapadia, N., & Madan, D. (2003). Stock return characteristics, skew laws, and the differential pricing of individual equity options. The Review of Financial Studies, 16, 101-143.
5. Bates, D. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9, 69-107.
6. Bates, D. (2000). Post-'87 crash fears in the S&P 500 futures option market. Journal of Econometrics, 94, 181-238.
7. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659.
8. Chapman, D., Long, J., & Pearson, N. (1999). Using proxies for the short rate: When are three months like an instant? Review of Financial Studies, 12, 763-806.
9. Cox, J., Ingersoll, J., & Ross, S. (1985). A theory of the term structure of interest rates. Econometrica, 53, 363-384.
10. Duffie, D., Pan, J., & Singleton, K. (2000). Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 68, 1343-1376.
11. Dumas, B., Fleming, J., & Whaley, R. (1998). Implied volatility smiles: An empirical investigation. Journal of Finance, 53, 2059-2106.
12. Eraker, B., Johannes, M., & Polson, N. (2003). The impact of jumps in equity index volatility and returns. Journal of Finance, 58, 1269-1300.
13. Hansen, L. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029-1054.
14. Merton, R. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.
15. Pan, J. (2002). The jump-risk premia implicit in options: Evidence from an integrated time-series study. Journal of Financial Economics, 63, 3-50.