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ArticleStatistical tests of contingent-claims asset-pricing models

Andrew W. Lo1986

Article1986

Statistical tests of contingent-claims asset-pricing models

64 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 1980On estimating the expected return on the market 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

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1986The valuation of American call options and the expected ex-dividend stock price decline 2004Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration 2002Maximum likelihood estimation of deposit insurance value with interest rate risk 1993A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation 2009Simulation-Based Estimation of Contingent-Claims Prices 1994Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing

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Year1986

Typearticle

Published1986-09-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations64

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-405x(86)90009-7

openalex_workW1521991828

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1996Implied Volatility Functions: Empirical Tests