Buraschi, Andrea (contributor); … - 1999 - [Elektronische Ressource]
and new option
pricing models have been proposed in order to accommodate that change. Deter-
ministic volatility models … spanning of the pricing kernel. We develop a statistical test based on this
di®erence in spanning. Using daily S&P500 index … derivative pricing literature has
been to model the underlying asset as a geometric Brownian motion with constant
volatility …