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Econometric Specification of the Risk Neutral Valuation Model

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  • E, Clement

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  • Christian Gourieroux

    (Crest)

  • Alain Monfort

    (Crest)

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  • E, Clement & Christian Gourieroux & Alain Monfort, 1997. "Econometric Specification of the Risk Neutral Valuation Model," Working Papers 97-33, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:97-33
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    1. Yacine Aït-Sahalia & Andrew W. Lo, "undated". "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    2. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
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    4. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    5. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    6. ROLIN, Jean-Marie, 1992. "Some useful properties of the Dirichlet process," LIDAM Discussion Papers CORE 1992007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Whaley, Robert E, 1986. "Valuation of American Futures Options: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 41(1), pages 127-150, March.
    8. Malz, Allan M., 1996. "Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 717-748, October.
    9. Rolin, J.M., 1992. "Some Useful Properties on the Dirichlet Process," Papers 9202, Catholique de Louvain - Institut de statistique.
    10. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    11. Robert JARROW & Andrew RUDD, 2008. "Approximate Option Valuation For Arbitrary Stochastic Processes," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31, World Scientific Publishing Co. Pte. Ltd..
    12. Stutzer, Michael, 1996. "A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, vol. 51(5), pages 1633-1652, December.
    13. Gouriéroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," LIDAM Discussion Papers IRES 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997.
    14. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105, January.
    15. F. Magnien & J.-L. Prigent & A. Trannoy, 1996. "Implied risk neutral probability measures on options markets : The L2 approach," THEMA Working Papers 96-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    16. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    17. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    18. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    19. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
    20. Peter A. Abken & Dilip B. Madan & Buddhavarapu Sailesh Ramamurtie, 1996. "Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options," FRB Atlanta Working Paper 96-5, Federal Reserve Bank of Atlanta.
    21. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    22. Christian Gourieroux & Olivier Scaillet & Ariane Szafarz, 1997. "Econométrie de la Finance: approches historiques," ULB Institutional Repository 2013/651, ULB -- Universite Libre de Bruxelles.
    23. Neuhaus, Holger, 1995. "Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten," Discussion Paper Series 1: Economic Studies 1995,03, Deutsche Bundesbank.
    24. repec:bla:jfinan:v:53:y:1998:i:2:p:499-547 is not listed on IDEAS
    25. Elvira Maria de Sousa Silva & Kandice H. Kahl, 1993. "Reliability of soybean and corn option‐based probability assessments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(7), pages 765-779, October.
    26. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    27. Paul L. Fackler & Robert P. King, 1990. "Calibration of Option-Based Probability Assessments in Agricultural Commodity Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 73-83.
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    Cited by:

    1. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    2. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
    3. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
    4. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    5. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.

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