Empirical Performance of Alternative Option Pricing Models
نویسندگان
چکیده
منابع مشابه
Empirical Performance of Alternative Option Pricing Models
Substantial progress has been made in developing more realistic option pricing models. Empirically, however, it is not known whether and by how much each generalization improves option pricing and hedging. We ll this gap by rst deriving an option model that allows volatility, interest rates and jumps to be stochastic. Using S&P 500 options, we examine several alternative models from three persp...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1997
ISSN: 0022-1082
DOI: 10.2307/2329472