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15020000 Tests of derivative pricing models.

G. Bakshi, C. Cao and Z. Chen, 1997, "Empirical Performance of Alternative Option Pricing Models", Journal of Finance, 52:2003-2049

G. Bakshi, C. Cao and Z. Chen, 2000, "Pricing and Hedging Long-term Options", Journal of Econometrics, 94:277-318

G. Bakshi, N. Kapadia and D. Madan, 2003, "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options", Review of Financial Studies, 16:101-143

D. Bates, 2003, "Empirical Option Pricing: A Retrospection", Journal of Econometrics, 116:387-404

M. Bhattacharya, 1980, "Empirical Properties of the Black-Scholes Formula Under Ideal Conditions", Journal of Financial and Quantitative Analysis, 15:1081-1105

E. Blomeyer and H. Johnson, 1988, "An Empirical-Examination of the Pricing of American Put Options", Journal of Financial and Quantitative Analysis, 23:13-22

J. Butler and B. Schachter, 1986, "Unbiased Estimation of the Black-Scholes Formula", Journal of Financial Economics, 15:341-357

P. Carr and L. Wu, 2003, "Type of Process Underlies Options? A Simple Robust Test Volume", Journal of Finance, 58:2581-2610

M. Chaudhury, 1987, "On the Striking Price Bias of the Black Scholes Formula with an Estimated Variance Rate", Economics Letters, 25:359-362

M. Chesney and L. Scott, 1989, "Pricing European Currency Options--A Comparison of the Modified Black-Scholes Model and a Random Variance Model", Journal of Financial and Quantitative Analysis, 24:267-284

P. Christoffersen and K. Jacobs, 2004, "The Importance of the Loss Function in Option Valuation", Journal of Financial Economics, 72:291-318

C. Corrado and T. Su, 1996, "S-and-P-500 Index Option Tests of Jarrow and Rudds Approximate Option Valuation Formula", Journal of Futures Markets, 16:611-629

P. Dawson, 1994, "Comparative Pricing of American and European Index Options--An Empirical-Analysis", Journal of Futures Markets, 14:363-378

B. Dietrichcampbell and E. Schwartz, 1986, "Valuing Debt Options--Empirical-Evidence", Journal of Financial Economics, 16:321-343

J. Eales and R. Hauser, 1990, "Analyzing Biases in Valuation Models of Options on Futures", Journal of Futures Markets, 10:211-228

D. Emanuel and J. Macbeth, 1982, "Further Results on the Constant Elasticity of Variance Call Option Pricing Model", Journal of Financial and Quantitative Analysis, 17:533-554

L. Gagnon, 1994, "Empirical-Investigation of the Canadian Government Bond Options Market", Revue Canadienne Des Sciences De L administration-Canadian Journal of Administrative Sciences, 11:2-11

R. Geske, R. Roll and K. Shastri, 1983, "Over-the-Counter Option Market Dividend Protection and Biases in the Black-Scholes Model--A Note", Journal of Finance, 38:1271-1277

N. Gultekin, R. Rogalski and S. Tinic, 1982, "Option Pricing Model Estimates--Some Empirical Results", Financial Management, 11:58-69

J. Hammer, 1989, "On Biases Reported in Studies of the Black-Scholes Option Pricing Model", Journal of Economics and Business, 41:153-169

C. Jones, 2003, "The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets", Journal of Econometrics, 116:181-224

J. Jordan, W. Seale, N. Mccabe and D. Kenyon, 1987, "Transactions Data Tests of the Black Model for Soybean Futures Options", Journal of Futures Markets, 7:535-554

R. King, 1986, "Convertible Bond Valuation--An Empirical-Test", Journal of Financial Research, 9:53-69

L. Kochman, 1982, "The Incidence and Implications of Mispriced Cboe Puts", Akron Business and Economic Review, 13:24-27

B. Lauterbach and P. Schultz, 1990, "Pricing Warrants--An Empirical-Study of the Black-Scholes Model and Its Alternatives", Journal of Finance, 45:1181-1209

K. Lim and K. Phoon, 1991, "Testing the Warrant Pricing Model", Economics Letters, 35:451-455

A. Lo, 1986, "Statistical Tests of Contingent-Claims Asset-Pricing Models--A New Methodology", Journal of Financial Economics, 17:143-173

C. Luft and B. Fielitz, 1986, "An Empirical-Test of the Commodity Option Pricing Model Using Ginnie-Mae Call Options", Journal of Financial Research, 9:137-151

M. Ncube and S. Satchell, 1997, "The Statistical Properties of the Black-Scholes Option Price", Mathematical Finance, 7:287-305

R. Patin, P. Robertson and D. Burckel, 1989, "A Test of the Applicability of the Black-Scholes Call Option Pricing Model--Valuing S and P 100 Index Call Options", Akron Business and Economic Review, 20:8-21

S. Perrakis and P. Ryan, 1994, "Options on Thinly Traded Stocks--Theory and Empirical-Evidence", Revue Canadienne Des Sciences De L administration-Canadian Journal of Administrative Sciences, 11:24-42

J. Quigley and R. Vanorder, 1995, "Explicit Tests of Contingent Claims Models of Mortgage Default", Journal of Real Estate Finance and Economics, 11:99-117

A. Rahman, L. Kryzanowski and A. Sim, 1987, "Simultaneous Estimation of the Parameters of the Black-Scholes Option Pricing Model", Review of Economics and Statistics, 69:727-732

L. Scott, 1989, "Stock-Price Changes with Random Volatility and Jumps--Some Empirical-Evidence", Quarterly Review of Economics and Business, 29:21-32

K. Shastri and K. Tandon, 1986, "An Empirical-Test of a Valuation Model for American Options on Futures Contracts", Journal of Financial and Quantitative Analysis, 21:377-392

K. Shastri and K. Tandon, 1986, "Valuation of Foreign-Currency Options--Some Empirical Tests", Journal of Financial and Quantitative Analysis, 21:145-160

A. Sheikh, 1991, "Transaction Data Tests of S-and-P 100 Call Option Pricing", Journal of Financial and Quantitative Analysis, 26:459-475

W. Sterk, 1982, "Tests of 2 Models for Valuing Call Options on Stocks with Dividends", Journal of Finance, 37:1229-1237

W. Sterk, 1983, "Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing-Models", Journal of Financial and Quantitative Analysis, 18:345-354

W. Sterk, 1983, "Option Pricing--Dividends and the in-the-Money and Out-of-the-Money Bias", Financial Management, 12:47-53

S. Swidler, 1986, "Simultaneous Option Prices and an Implied Risk-Free Rate of Interest--A Test of the Black-Scholes Model", Journal of Economics and Business, 38:155-164

A. Tucker, D. Peterson and E. Scott, 1988, "Tests of the Black-Scholes and Constant Elasticity of Variance Currency Call Option Valuation Models", Journal of Financial Research, 11:201-213

C. Veld and A. Verboven, 1993, "Testing Option Pricing-Models for Several Contingent Claims Using a Generalized Methodology", Economics Letters, 41:293-299

R. Whaley, 1982, "Valuation of American Call Options on Dividend-Paying Stocks--Empirical Tests", Journal of Financial Economics, 10:29-58

R. Whaley, 1986, "Valuation of American Futures Options--Theory and Empirical Tests", Journal of Finance, 41:127-150

Terence Lim (1), Andrew W. Lo (2), Robert C. Merton (3) and Myron S. Scholes (4)

(1) Goldman Sachs Asset Management, 32 Old Slip, New York, NY 10005, terence.lim@gs.com

(2) MIT Sloan School of Management, Cambridge, MA 02142, alo@mit.edu

(3) Graduate School of Business Administration, Harvard University, Boston, MA 02163, merton@hbs.edu

(4) Stanford University and Oak Hill Platinum Partners, Rye Brook, NY 10573, mscholes@ohpp.com
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Title Annotation:5: Citations
Author:Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S.
Publication:Foundations and Trends in Finance
Article Type:Bibliography
Date:Sep 1, 2005
Words:1027
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