Loss Functions in Option Valuation: A Framework for Model Selection
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Cited by:
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
- Christian Wolff & Thorsten Lehnert & Cokki Versluis, 2009. "A Cumulative Prospect Theory Approach to Option Pricing," LSF Research Working Paper Series 09-03, Luxembourg School of Finance, University of Luxembourg.
- Zhushun Yuan & Gemai Chen, 2009. "Asymptotic Normality for EMS Option Price Estimator with Continuous or Discontinuous Payoff Functions," Management Science, INFORMS, vol. 55(8), pages 1438-1450, August.
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More about this item
Keywords
Option pricing; Loss functions; Estimation risk; Garch; Implied volatility;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-06-14 (Econometrics)
- NEP-ETS-2005-06-14 (Econometric Time Series)
- NEP-FIN-2005-06-14 (Finance)
- NEP-FMK-2005-06-14 (Financial Markets)
- NEP-RMG-2005-06-14 (Risk Management)
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