Gurdip Bakshi

University of Maryland - Robert H. Smith School of Business

Dean's Professor of Finance

Department of Finance

College Park, MD 20742-1815

United States

http://scholar.rhsmith.umd.edu/gbakshi/Home?destination=Home

SCHOLARLY PAPERS

45

DOWNLOADS
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Top 897

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22,014

CITATIONS
Rank 480

SSRN RANKINGS

Top 480

in Total Papers Citations

986

Scholarly Papers (45)

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

Number of pages: 52 Posted: 25 Jan 2011 Last Revised: 29 Feb 2012
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 1,433 (9,112)
Citation 4

Abstract:

Baltic Dry Index, global stock markets, commodity returns, global real economic activity

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

AFA 2012 Chicago Meetings Paper
Number of pages: 52 Posted: 22 Mar 2011
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 825 (21,489)
Citation 4

Abstract:

Baltic Dry Index, global stock markets, commodity returns, global real economic activity, predictive regressions, out-of-sample statistic, economic significance

2.

Stock Valuation in Dynamic Economics

Yale ICF Working Paper No. 00-36
Number of pages: 52 Posted: 12 Jun 2001
Zhiwu Chen and Gurdip Bakshi
Yale University - International Center for Finance and University of Maryland - Robert H. Smith School of Business
Downloads 2,096 (4,691)
Citation 23

Abstract:

3.

Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models

AFA 2001 New Orleans Meetings
Number of pages: 53 Posted: 08 Mar 2001
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,466 (8,594)
Citation 12

Abstract:

Spanning and Derivative-Security Valuation

Number of pages: 34 Posted: 07 Apr 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,427 (9,177)
Citation 126

Abstract:

Spanning and Derivative-Security Valuation

Journal of Financial Economics, Vol. 55, Iss. 2
Posted: 20 May 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business

Abstract:

5.

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of pages: 32 Posted: 24 Oct 2003
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,264 (10,954)
Citation 35

Abstract:

6.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

EFA 0162
Number of pages: 51 Posted: 10 Oct 2000
Nikunj Kapadia, Gurdip Bakshi and Dilip B. Madan
University of Massachusetts Amherst - Department of Finance, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,263 (10,253)
Citation 174

Abstract:

risk neutral skews, option pricing, individual stock options

7.

A Theory of Volatility Spreads

Robert H. Smith School Research Paper No. RHS 06-028
Number of pages: 29 Posted: 02 Feb 2006
Gurdip Bakshi and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,238 (10,324)
Citation 29

Abstract:

risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails

8.

An Alternative Valuation Model for Contingent Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 36 Posted: 29 Feb 1996
Zhiwu Chen and Gurdip Bakshi
Yale University - International Center for Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,018 (15,342)
Citation 30

Abstract:

9.

Do Higher-Moment Equity Risks Explain Hedge Fund Returns?

Robert H. Smith School Research Paper No. RHS 06-153
Number of pages: 54 Posted: 21 Mar 2008 Last Revised: 30 Jan 2011
Vikas Agarwal, Gurdip Bakshi and Joop Huij
Georgia State University, University of Maryland - Robert H. Smith School of Business and Erasmus University - Rotterdam School of Management
Downloads 907 (16,787)
Citation 12

Abstract:

volatility risk, skewness risk, kurtosis risk, higher moments, exposures, hedge funds, alphas

10.

Book Values, Earnings, and Market Valuations

AFA 2003 Washington, DC Meetings
Number of pages: 50 Posted: 15 Nov 2002
Nengjiu Ju and Gurdip Bakshi
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of Maryland - Robert H. Smith School of Business
Downloads 759 (24,116)
Citation 1

Abstract:

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

AFA 2001 New Orleans Meetings
Number of pages: 48 Posted: 17 Apr 2001
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 724 (25,986)
Citation 154

Abstract:

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Review of Financial Studies, Forthcoming
Posted: 10 Jan 2002
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business

Abstract:

Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains

12.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
Peter Carr, Liuren Wu and Gurdip Bakshi
New York University (NYU) - Courant Institute of Mathematical Sciences, City University of New York, CUNY Baruch College - Zicklin School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 713 (25,914)
Citation 31

Abstract:

Stochastic discount factors, international economy, stochastic risk premium

13.

Crash Discovery in Stock and Option Markets

Number of pages: 58 Posted: 20 Apr 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 669 (28,453)
Citation 3

Abstract:

14.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011
Gurdip Bakshi and George Panayotov
University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 607 (29,088)
Citation 1

Abstract:

currency carry trades, predictability

15.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 20 Sep 2001
Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 448 (42,756)
Citation 177

Abstract:

16.

Estimation of Continuous-time Models with an Application to Equity Volatility Dynamics

Number of pages: 28 Posted: 19 Mar 2005
Nengjiu Ju, Gurdip Bakshi and Hui Ou-Yang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Maryland - Robert H. Smith School of Business and Cheung Kong Graduate School of Business
Downloads 428 (51,097)
Citation 25

Abstract:

Continuous-time models, Maximum-likelihood estimation, Density approximation

17.

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Journal of Business, Forthcoming
Number of pages: 36 Posted: 30 Dec 2004
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 417 (51,097)
Citation 37

Abstract:

Default risk models, reduced-form, leverage, distance-to-default, hedging

18.

Risk Sharing in International Economies and Market Incompleteness

American Finance Association Meeting 2016 , 27th Australasian Finance and Banking Conference 2014 Paper
Posted: 16 Aug 2014 Last Revised: 23 Sep 2016
Gurdip Bakshi, Mario Cerrato and John Crosby
University of Maryland - Robert H. Smith School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Technology Sydney Business School

Abstract:

International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade

Equilibrium Valuation of Foreign Exchange Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 39 Posted: 29 Feb 1996
Zhiwu Chen and Gurdip Bakshi
Yale University - International Center for Finance and University of Maryland - Robert H. Smith School of Business
Downloads 297 (79,999)
Citation 28

Abstract:

Equilibrium Valuation of Foreign Exchange Claims

J. OF FINANCE
Posted: 12 Sep 1996
Zhiwu Chen and Gurdip Bakshi
Yale University - International Center for Finance and University of Maryland - Robert H. Smith School of Business

Abstract:

20.

Unified Treatment of Average-Rate Contingent Claims with Applications

Number of pages: 40 Posted: 30 Jul 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 254 (93,130)
Citation 1

Abstract:

21.

Assessing Models of Individual Equity Option Prices

Number of pages: 34 Posted: 11 Apr 2012
Gurdip Bakshi, Charles Cao and Zhaodong Zhong
University of Maryland - Robert H. Smith School of Business, Pennsylvania State University and Rutgers University
Downloads 253 (79,528)
Citation 1

Abstract:

individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 42 Posted: 22 Sep 2008
Gurdip Bakshi and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 84 (241,890)
Citation 6

Abstract:

subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

Do Subjective Expectations Explain Asset Pricing Puzzles?

Journal of Financial Economics (JFE), 2010
Number of pages: 37 Posted: 14 Apr 2010
Gurdip Bakshi and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 66 (279,029)
Citation 6

Abstract:

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 37 Posted: 23 Mar 2009
Gurdip Bakshi and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 41 (349,507)
Citation 6

Abstract:

subjective expectations; learning; structural uncertainty; priors; predictive density of consumption growth; equity premium; riskfree return

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 42 Posted: 19 Feb 2009
Gurdip Bakshi and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 40 (352,961)
Citation 6

Abstract:

subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 228 (106,406)

Abstract:

traded volatility, VIX option returns, tails of pricing and physical distributions

Heterogeneity in Beliefs and Volatility Tail Behavior

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Jul 2014
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Abstract:

traded volatility, VIX option returns, tails of pricing and physical distributions, heterogeneiry

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Robert H. Smith School Research Paper No. RHS 06-107
Number of pages: 56 Posted: 28 Aug 2009 Last Revised: 29 Feb 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 154 (153,822)
Citation 13

Abstract:

U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 19 Mar 2010
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 57 (301,232)
Citation 13

Abstract:

U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,

25.

Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options

Journal of Financial and Quantitative Analysis
Number of pages: 31 Posted: 07 Aug 2001
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 196 (120,863)
Citation 6

Abstract:

26.

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes

Number of pages: 37 Posted: 07 Jan 2009
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 183 (126,712)
Citation 2

Abstract:

jump structure, pure-jump price, crashes, arrival rate, extremes

27.

Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

Robert H. Smith School Research Paper No. RHS 06-137
Number of pages: 47 Posted: 08 Jun 2010 Last Revised: 29 Feb 2012
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 175 (121,435)
Citation 13

Abstract:

Predictability, traded market variance, real economic activity, Treasury returns, stock market

Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2011-11, Fisher College of Business Working Paper No. 2011-03-011
Number of pages: 41 Posted: 21 Jun 2011 Last Revised: 18 Feb 2012
Gurdip Bakshi and Fousseni Chabi-Yo
University of Maryland - Robert H. Smith School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 136 (170,727)
Citation 6

Abstract:

Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems

Variance Bounds on the Permanent and Transitory Components Of Stochastic Discount Factors

Journal of Financial Economics, 2012
Number of pages: 40 Posted: 06 Mar 2012
Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business
Downloads 33 (379,366)
Citation 6

Abstract:

Stochastic discount factors, permanent component, transitory component, variance bounds

29.

A Refinement to Ait-Sahalia's (2002) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Number of pages: 18 Posted: 06 Dec 2003
Gurdip Bakshi and Nengjiu Ju
University of Maryland - Robert H. Smith School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 168 (138,052)
Citation 3

Abstract:

closed-form density approximation, one-dimensional diffusion, maximum-likelihood

30.

An Asset Pricing Theory of Volatility Tail Behavior

Number of pages: 37 Posted: 15 Mar 2011
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 167 (131,863)
Citation 1

Abstract:

Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity

31.

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Robert H. Smith School Research Paper No. RHS 2589057
Number of pages: 85 Posted: 04 Apr 2015 Last Revised: 21 Apr 2015
University of Maryland - Robert H. Smith School of Business, University of Maryland - Department of Finance and University of Maryland - Department of Finance
Downloads 164 (64,830)

Abstract:

Commodity asset pricing models, futures returns, individual commodities as test assets, average returns, carry, momentum, innovations in equity volatility, and speculative activity, predictive regressions

32.

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics

Journal of Financial Economics, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-017
Number of pages: 29 Posted: 27 Jan 2006
Hui Ou-Yang and Gurdip Bakshi
Cheung Kong Graduate School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 149 (152,802)
Citation 25

Abstract:

Continuous-time models, Maximum-likelihood estimation, Density approximation, Market volatility dynamics

33.

A Refinement to Ait-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

Journal of Business, Vol. 78, No. 6, November 2005
Number of pages: 18 Posted: 30 Dec 2004
Gurdip Bakshi and Nengjiu Ju
University of Maryland - Robert H. Smith School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 114 (184,229)
Citation 6

Abstract:

Density approximation, one-dimensional diffusions

34.

First-Passage Probability, Jump Models and Intra-Horizon Risk

Journal of Financial Economics, Vol. 95, No. 1, 2010
Number of pages: 50 Posted: 14 Feb 2010
Gurdip Bakshi and George Panayotov
University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 97 (204,208)
Citation 1

Abstract:

Intra-Period Risk, First-Passage Probability, Value-At-Risk, Jump Models

35.

New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models

Charles A. Dice Center Working Paper No. 2014-07, Fisher College of Business Working Paper No. 2014-03-007, Robert H. Smith School Research Paper No. RHS 2432966
Number of pages: 66 Posted: 06 May 2014 Last Revised: 20 Jun 2014
Gurdip Bakshi and Fousseni Chabi-Yo
University of Maryland - Robert H. Smith School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 83 (179,744)

Abstract:

Entropy, stochastic discount factors, permanent component, lower entropy bounds, entropy codependence, asset pricing models, eigenfunction problem

36.

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Number of pages: 51 Posted: 29 Apr 2015
University of Maryland - Robert H. Smith School of Business, University of Massachusetts Amherst - Isenberg School of Management and University of Maryland - Department of Finance
Downloads 34 (239,813)

Abstract:

Long-term Treasury bond, expected excess return, lower bound, options on bond futures

37.

A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem

Robert H. Smith School Research Paper No. RHS 2872909
Number of pages: 41 Posted: 20 Nov 2016
University of Maryland - Robert H. Smith School of Business, University of Massachusetts Amherst - Isenberg School of Management and University of Maryland - Department of Finance
Downloads 0 (352,665)

Abstract:

recovery theorem

38.

Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

Robert H. Smith School Research Paper No. RHS 2858834
Number of pages: 50 Posted: 27 Oct 2016
Gurdip Bakshi, Mario Cerrato and John Crosby
University of Maryland - Robert H. Smith School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Technology Sydney Business School
Downloads 0 (460,360)

Abstract:

Incomplete Markets, Limited Risk Sharing, Currency Puzzles

39.

The Multiplicative Wedge Approach to Incomplete Markets and the Trifecta of Exchange Rate Puzzles

Number of pages: 32 Posted: 24 Sep 2016 Last Revised: 01 Nov 2016
Gurdip Bakshi and John Crosby
University of Maryland - Robert H. Smith School of Business and University of Technology Sydney Business School
Downloads 0 (378,168)

Abstract:

currency puzzles, incomplete spanning, multiplicative wedge

40.

Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights

Journal of Derivatives, Fall 2003, pp. 45-54
Posted: 09 Sep 2003
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business

Abstract:

41.

Growth Outlook and the Cross-section of Stock Returns

Posted: 16 Feb 2001
Amy Chan and Gurdip Bakshi
University of Maryland and University of Maryland - Robert H. Smith School of Business

Abstract:

Growth outlook, return cross-section, stock valuation, expected stock returns

42.

Do Call Prices and the Underlying Stock Always Move in the Same Direction?

Review of Financial Studies
Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi and Charles Cao
Yale University - International Center for Finance, University of Maryland - Robert H. Smith School of Business and Pennsylvania State University

Abstract:

43.

Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies

REVIEW OF FINANCIAL STUDIES, Vol 9 No 1
Posted: 24 Aug 1998
Zhiwu Chen and Gurdip Bakshi
Yale University - International Center for Finance and University of Maryland - Robert H. Smith School of Business

Abstract:

44.

Pricing and Hedging Long-Term Options

Journal of Econometrics, 1998
Posted: 06 May 1998
Zhiwu Chen, Gurdip Bakshi and Charles Cao
Yale University - International Center for Finance, University of Maryland - Robert H. Smith School of Business and Pennsylvania State University

Abstract:

Empirical Performance of Alternative Option Pricing Models

J. OF FINANCE
Posted: 30 Apr 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
Yale University - International Center for Finance, Pennsylvania State University and University of Maryland - Robert H. Smith School of Business

Abstract:

Empirical Performance of Alternative Option Pricing Models

Posted: 06 Mar 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
Yale University - International Center for Finance, Pennsylvania State University and University of Maryland - Robert H. Smith School of Business

Abstract: