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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,

(2) MIT Sloan School of Management, Cambridge, MA 02142,

(3) Graduate School of Business Administration, Harvard University, Boston, MA 02163,

(4) Stanford University and Oak Hill Platinum Partners, Rye Brook, NY 10573,
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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
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