Microstructural biases in empirical tests of option pricing models

Patrick Dennis () and Stewart Mayhew

Review of Derivatives Research, 2009, vol. 12, issue 3, 169-191

Keywords: Option pricing; Microstructure; Jump-diffusion; Risk-neutral moments; G13 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (19)

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DOI: 10.1007/s11147-009-9039-0

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