A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL

DOI10.1111/J.1467-9965.1993.TB00091.XzbMATH Open0884.90015OpenAlexW2130443038MaRDI QIDQ4372018FDOQ4372018

Authors: Peter Bossaerts, Pierre Hillion 

Publication date: 15 April 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00091.x

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zbMATH Keywords

option pricingdiscrete approximationmethod of simulated momentsgeneral equilibriumtransactions dataCox-Ingersoll-Ross call option pricing modelexecution price uncertainty

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulation and the Asymptotics of Optimization Estimators
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Title not available (Why is that?)
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Discretization and simulation of stochastic differential equations
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• An Intertemporal General Equilibrium Model of Asset Prices
• Information structures and viable price systems

Cited In (3)

• Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach
• Is there an informationally passive benchmark for option pricing incorporating maturity?
• Local parametric analysis of hedging in discrete time

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