Assessing the Incremental Value of Option Pricing Theory Relative to an 'Informationally Passive' Benchmark
نویسندگان
چکیده
منابع مشابه
Is There an Informationally Passive Benchmark for Option
†We would like to thank Gurdip Bakshi, Nikunj Kapadia and Robert Tompkins for kindly sharing their data sets. We also thank seminar participants at Stanford University and Columbia University, and Steve Figlewski for comments on a previous version of this paper titled “Extending Figlewski’s option pricing formula”. The first author acknowledges partial support from the NSF via grant DMI 0447990...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.347481