This paper provides an asset pricing method to address potential model misspeci…cation. The
resulting price estimator is consistent irrespective of misspeci…cation. The pricing precision is
at least that of nonparametric prices, and automatically converges to parametric precision when
model quality improves. The method is applicable to multi-dimensional asset pricing and to
sensitivity analysis. Application to the pricing of CBOT Treasury options suggests that the
cheapest to deliver practice is an important source of misspeci…cation. Potential equilibrium
implications on bounded rationality are discussed.
학술대회/행사
학술대회안내
[2008년 제 4차] Asset Pricing with Misspecified Models
작성자 : 관리자
조회수 : 1028
게시일 :
2008-12-11