Empirical Evidence and Fixes

George Constantinides

Chapter 12 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 179-195 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionHow to Test the BSM Pricing EquationStylized Patterns of Mispricing by the BSMWhat are the Market Prices Saying?Post-BSM ModelsA Simple Practitioners' Approach to Fix to the BSM Pricing EquationA More Sophisticated Practitioners' ApproachFinancial Engineers' Fixes to the BSM Pricing EquationAssignment 7

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814618434_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814618434_0012 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814618434_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().