Skewness, kurtosis, and black-scholes option mispricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/BF02925505.pdf
Reference30 articles.
1. Ball, C. andTorous, W. (1984): «The Maximum Likelihood Estimation of Security Price Volatility; Theory, Evidence, and Application to Option Pricing”, Journal of Business, 57, 97–112.
2. Beckers, S. (1981): «A note on Estimating the Parameters of a Diffusion-Jump Model of Stock Returns”, Journal of Financial and quantitative Analysis, 36, 127–140.
3. Bhattacharya, M. (1983): «Transactions Data Tests of Efficiency of the Chicago Board Options Exchange”, Journal of Financial Economics 12, 161–185.
4. Bickel, P. andK. Doksum (1977): Mathematical Statistics (Holden-Day, Oakland, California).
5. Black, F. andM. Scholes (1972): «The Valuation of Option Contracts and a Test of Market Efficiency”, Journal of Finance 27, 399–417.
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