A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL

DOI10.1111/J.1467-9965.1993.TB00091.XMaRDI QIDQ4372018zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• A theory of the term structure of interest rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Discretization and simulation of stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Information structures and viable price systems
• Large Sample Properties of Generalized Method of Moments Estimators
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulation and the Asymptotics of Optimization Estimators
• The pricing of options and corporate liabilities

Cited in

(4)

• Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach
• Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
• Is there an informationally passive benchmark for option pricing incorporating maturity?
• Local parametric analysis of hedging in discrete time

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