Testing the martingale restriction for option implied densities
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DOI: 10.1007/s11147-008-9024-z
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Cited by:
- Ching-Ping Wang & Hung-Hsi Huang & Chien-Chia Hung, 2011. "Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(2), pages 115-125.
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More about this item
Keywords
Density forecasting; Hypothesis testing; Option implied densities; Risk management; Time series; C12; C52; C53; G13;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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