Lin, Chuang Yuang; Chen, Dar Hsin; Tsai, Chin Yu - In: Applied Economics 43 (2011) 23, pp. 3103-3113
Many option pricing models are based on the assumption that the underlying asset price follows one-dimensional diffusion process. An alternative approach is to test the properties that should hold for all models based on a given stochastic process for the underlying asset. Following Perignon...