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ArticleEmpirical assessment of an intertemporal option pricing model with latent variables

René García2003

Article2003

Empirical assessment of an intertemporal option pricing model with latent variables

René García · Richard Luger · Éric Renault

124 citations·0/0 files stored·Journal of Econometrics

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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 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1994Comparing Predictive Accuracy 1978Asset Prices in an Exchange Economy 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited by

2012Consumption-Based Asset Pricing with Higher Cumulants 2013Sources of Entropy in Representative Agent Models 2007State Dependence Can Explain the Risk Aversion Puzzle 2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface*2010The Econometrics of Option Pricing 2010Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

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Year2003

Typearticle

Published2003-04-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations124

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4076(03)00103-9

openalex_workW2105868906

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2016The Pricing Kernel Puzzle: Survey and Outlook

2015Learning, confidence, and option prices