The DOI matches its Crossref record; 76 of the 76 references it cites were found in a registry or an index.
20 Testing option pricing models
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
Theory of rational option pricing
Merton, R. C. (2005) · Theory of Valuation · doi:10.1142/9789812701022_0008 · Cited by 7,161
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
The Pricing of Options on Assets with Stochastic Volatilities
HULL, J., & WHITE, A. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb02568.x · Cited by 3,807
Cited by
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
An Empirical Investigation of Continuous‐Time Equity Return Models
Andersen, T. G., Benzoni, L., & Lund, J. (2002) · The Journal of Finance · doi:10.1111/1540-6261.00460 · Cited by 866
Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing
Shefrin, H. (2002) · doi:10.1093/0195161211.001.0001 · Cited by 527
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
Christoffersen, P., Heston, S., & Jacobs, K. (2013) · Review of Financial Studies · doi:10.1093/rfs/hht033 · Cited by 308
Metadata
- Authors
- Bates, D. S.
- Venue
- Handbook of Statistics
- Publisher
- Elsevier
- Published
- 1996
- Pages
- 567-611
- ISSN
- 0169-7161 (ISSN-L)
- OpenAlex
- W1778683340
- Cited by
- 267
- References
- 76
- FWCI
- 27.96
- Type
- book chapter
- Language
- en
- Open access
- bronze
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- Bates, D. S. (1996). 20 Testing option pricing models. Handbook of Statistics. https://doi.org/10.1016/s0169-7161(96)14022-0
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
