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Drift estimation of generalized security price processes from high frequency derivative prices

Pandher, Gurupdesh S. - In: Review of derivatives research 4 (2000) 3, pp. 263-284

Persistent link: https://www.econbiz.de/10001596721

Estimation of excess returns for derivative prices and testing for risk neutral pricing

Pandher, Gurupdesh S. - In: Econometric theory 17 (2001) 4, pp. 785-819

Persistent link: https://www.econbiz.de/10001606798

Forecasting multivariate time series with linear restrictions using constrained structural state-space models

Pandher, Gurupdesh S. - In: Journal of forecasting 21 (2002) 4, pp. 281-300

Persistent link: https://www.econbiz.de/10001700333

Modelling & controlling monetary and economic identities with constrained state space models

Pandher, Gurupdesh S. - In: International statistical review : a journal of the … 75 (2007) 2, pp. 150-169

Persistent link: https://www.econbiz.de/10003648844

Regression-based modeling of market option prices : with application to S&P500 options

Pandher, Gurupdesh S. - In: Journal of forecasting 26 (2007) 7, pp. 475-495

Persistent link: https://www.econbiz.de/10003593891

Valuation of stock option grants under multiple severance risks

Pandher, Gurupdesh S. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 25-37

Persistent link: https://www.econbiz.de/10001861536

Forecasting multivariate time series with linear restrictions using constrained structural state-space models

Pandher, Gurupdesh S. - In: Journal of forecasting 21 (2002) 4, pp. 281

Persistent link: https://www.econbiz.de/10006894429

Valuation of Stock Option Grants Under Multiple Severance Risks

Pandher, Gurupdesh S. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 25-38

Persistent link: https://www.econbiz.de/10005930427

Regression-based modeling of market option prices: with application to S&P500 options

Pandher, Gurupdesh S. - In: Journal of Forecasting 26 (2007) 7, pp. 475-496

This paper presents a simple empirical approach to modeling and forecasting market option prices using localized option regressions (LOR). LOR projects market option prices over localized regions of their state space and is robust to assumptions regarding the underlying asset dynamics (e.g....

Persistent link: https://www.econbiz.de/10005635517

ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING

Pandher, Gurupdesh S. - In: Econometric Theory 17 (2001) 04, pp. 785-819

Persistent link: https://www.econbiz.de/10005610446