Implementing Option Pricing Models When Asset Returns Are Predictable
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1995.tb05168.x/fullpdf
Reference67 articles.
1. Abel , A. 1992 Exact solutions for expected rates of return under Markov regime switching: Implications for the equity premium puzzle, National Bureau of Economic Research (NBER) Working paper No. 4110
2. Estimation risk and adaptive behavior in the pricing of options;Barry;Financial Review,1991
3. Characterizing predictable components in excess returns on equity and foreign exchange markets;Bekaert;Journal of Finance,1992
4. Time-varying risk premia and forecastable returns in futures markets;Bessembinder;Journal of Financial Economics,1992
5. The valuation of option contracts and a test of market efficiency;Black;Journal of Finance,1972
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