We address a number of technical problems with the popular Practitioner Black-Scholes (PBS) method for valuing options. The method amounts to a two-stage procedure in which fitted values of implied volatilities (IV) from a linear regression are plugged into the Black-Scholes formula to obtain...

Various count data models are applied to data collected from a sample of Norfolk young persons, who were asked how many times they had had sexual intercourse during the previous two-week period. The models take account of the fact that the data are "grouped", meaning that for some observations,...

Tests of misspecification or other defects in microeconometric models are usually numerical and based on an average over the sample. In this paper, it is shown that certain types of misspecification can be concealed by averaging, and a framework is developed which allows the specification to be...

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...