Ryu, Doojin; Kang, Jangkoo; Suh, Sangwon - In: Journal of Futures Markets 35 (2015) 2, pp. 127-147
<section xml:id="fut21618-sec-0001"> This study proposes a new estimation approach for option valuation (an implied pricing kernel‐based approach), which estimates model parameters under the physical probability measure (P‐measure) using a pricing kernel implied by the GARCH option pricing model. Analyzing the dataset on the...</section>