Risk-neutral valuation is used widely in derivatives pricing. It is shown in this paper, however, that the naïve approach of simply setting the growth rate of the underlying security to risk-free interest rate, which happens to work for a geometric Brownian motion (GBM) process, fails to work...

This paper initiates a research program to provide computer function routines that can be used to deliver critical values or significance levels for statistical tests. These routines are easily integrated into existing econometric software and can be made available on a user call basis. The...