Empirical option pricing: a retrospection

被引：138

作者：

Bates, DS

机构：

[1] Univ Iowa, Henry B Tippie Coll Business Adm, Dept Finance, Iowa City, IA 52242 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF ECONOMETRICS | 2003年 / 116卷 / 1-2期

关键词：

option pricing; derivatives; risk-neutral distributions; time series analysis; affine models;

D O I：

10.1016/S0304-4076(03)00113-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article provides an overview and discussion of empirical option pricing research: how we test models, what we have learned, and what are some key issues. Some suggestions for future research are provided. (C) 2003 Elsevier B.V. All rights reserved.

引用

收藏

页码：387 / 404

页数：18

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