Econometric Models of Option Pricing Errors

Eric Renault

Working Papers from Toulouse - GREMAQ

Abstract: This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

Keywords: ECONOMETRICS; MODELS; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C10 C11 C14 G10 G12 (search for similar items in EconPapers)
Pages: 53 pages
Date: 1996
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:gremaq:96.407

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