Testing the martingale restriction for option implied densities (Q1025613): Difference between revisions

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+Nonparametric risk management and implied risk aversion
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+Do option markets correctly price the probabilities of movement of the underlying asset?
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+ADEQUACY OF ASYMPTOTIC THEORY FOR GOODNESS-OF-FIT CRITERIA FOR SPECTRAL DISTRIBUTIONS
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Empirical option pricing: A retrospection
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+Arbitrage Theory in Continuous Time
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+The Pricing of Options and Corporate Liabilities
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+Spectral tests of the martingale hypothesis under conditional heteroscedasticity
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+Multiperiod security markets with differential information
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+Q4840212
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+Q4905685
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+ON A METHOD OF DETERMINING WHETHER A SAMPLE OF SIZE n SUPPOSED TO HAVE BEEN DRAWN FROM A PARENT POPULATION HAVING A KNOWN PROBABILITY INTEGRAL HAS PROBABLY BEEN DRAWN AT RANDOM
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