Econometric Models of Option Pricing Errors.

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

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Year of publication:	1996
Authors:	Renault, E.
Institutions:	Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ), Toulouse School of Economics (TSE)
Subject:	ECONOMETRICS \| MODELS \| FINANCIAL MARKET

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Series:	Toulouse - GREMAQ.
Type of publication:	Book / Working Paper
Notes:	53 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005780436