Discrepancies between the Black-Scholes value of Japanese equity warrants and their observed prices are explained in part by the stochastic volatility of changes in prices of the underlying stocks. We fit GARCH and EGARCH models to the stochastic volatility and briefly compare their performance...

In this paper, a set of tests of models of relative capital asset pricesis developed. The tests are used to examine how well the models explain maturity premiums on Government bonds, though they are perfectly general and hence could be applied to stocks or other assets. Allowance is made in the...