Browsing by Author "Gago, Mónica"
Now showing items 1-2 of 2
-
A Semiparametric Estimation of Liquidity Effects on Option Pricing
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ... -
An empirical comparison of the performance of alternative option pricing models
Rubio Irigoyen, Gonzalo; Ferreira García, María Eva ; Gago, Mónica; León, Angel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ...