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Model Uncertainty and Pricing Performance in Option Valuation
Dennis Bams
, Gildas Blanchard
, Thorsten Lehnert
*
*
Corresponding author for this work
Finance
GSBE other - not theme-related research
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Keyphrases
Model Uncertainty
100%
Option Pricing Model
100%
Option Valuation
100%
Pricing Performance
100%
Volatility Modelling
50%
Option Price
50%
Loss Function
25%
Discrete-time
25%
Option Pricing
25%
Statistical Testing
25%
Parameter Influence
25%
Parameter Uncertainty
25%
Data-driven Approach
25%
Clustering Effect
25%
Single Cross
25%
Testing Framework
25%
Statistical Framework
25%
Leverage Effect
25%
Time Series Approach
25%
Price Information
25%
Cross-sectional Asset Pricing
25%
Probability Distribution Function
25%
S&P 500 Index Options
25%
INIS
performance
100%
cross sections
80%
testing
40%
data
40%
prices
40%
volatility
40%
levels
20%
applications
20%
information
20%
losses
20%
probability
20%
distribution functions
20%
Economics, Econometrics and Finance
Pricing
100%
Volatility
28%
Price
28%
Time Series
14%