Microstructural biases in empirical tests of option pricing models

DOI10.1007/S11147-009-9039-0zbMATH Open1189.91223OpenAlexW3121709065MaRDI QIDQ1037574FDOQ1037574

Authors: Patrick Dennis, Stewart Mayhew 

Publication date: 16 November 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9039-0

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zbMATH Keywords

option pricingjump-diffusionmicrostructurerisk-neutral moments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• Option pricing when underlying stock returns are discontinuous
• Post-'87 crash fears in the S\&P 500 futures option market
• Empirical option pricing: A retrospection

Cited In (2)

• A bias in the volatility smile
• VIX derivatives, hedging and vol-of-vol risk

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