Specification tests of calibrated option pricing models

DOI10.1016/J.JECONOM.2015.03.032MaRDI QIDQ888333zbMATH OpenOpenAlexFDO

Authors Simon Sai Man Kwok, Robert A. Jarrow

Publication date 30 October 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2123/9191

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Efficient derivative pricing by the extended method of moments
• Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• Infinitely divisible distributions, conditions for independence, and central limit theorems
• Large Sample Properties of Generalized Method of Moments Estimators
• Option pricing when underlying stock returns are discontinuous
• Post-'87 crash fears in the S\&P 500 futures option market
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Testing Non-Nested Nonlinear Regression Models
• Testing for smooth structural changes in time series models via nonparametric regression
• The pricing of options and corporate liabilities
• The significance of testing empirical non-nested models

Cited in

(5)

• An improved least squares Monte Carlo valuation method based on heteroscedasticity
• Microstructural biases in empirical tests of option pricing models
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
• Frontiers in time series and financial econometrics: an overview
• Sequential calibration of options

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