Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation

2002 ◽  
Vol 17 (2) ◽  
pp. 149-174 ◽  
Author(s):  
Christopher Otrok ◽  
B. Ravikumar ◽  
Charles H. Whiteman
Keyword(s):  
Monte Carlo ◽  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Monte Carlo Investigation

WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

2001 ◽  
pp. 239-265 ◽  
Author(s):  
MARCO AVELLANEDA ◽  
ROBERT BUFF ◽  
CRAIG FRIEDMAN ◽  
NICOLAS GRANDECHAMP ◽  
LUKASZ KRUK ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Asset Pricing ◽  
New Technique ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
A New Technique

Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models

2000 ◽  
pp. 1-31 ◽  
Author(s):  
Marco Avellaneda ◽  
Robert Buff ◽  
Craig Friedman ◽  
Nicolas Grandchamp ◽  
Lukasz Kruk ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Asset Pricing ◽  
New Technique ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
A New Technique

A NOTE ON BAYESIAN INFERENCE IN ASSET PRICING

2001 ◽  
Vol 17 (2) ◽  
pp. 475-482
Author(s):  
J.L. Knight ◽  
S.E. Satchell
Keyword(s):  
Monte Carlo ◽  
Bayesian Inference ◽  
Asset Pricing ◽  
Posterior Distribution ◽  
Monte Carlo Methods ◽  
Financial Econometrics ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Administrative Science ◽  
Key Parameter

In this paper the authors extend results by Harvey and Zhou (1990, Journal of Financial Econometrics 26, 221–254) and Kandel, McCulloch, and Stambaugh (1995, Review of Financial Studies 8(1), 1–53) to derive the posterior distribution of a key parameter in a Bayesian analysis of asset pricing models. It is shown that this distribution depends upon the same terms that constitute the standard asset pricing test of Jobson and Korkie (1985, Canadian Journal of Administrative Science 12, 114–138). Contrary to the view held by other authors, we find straightforward expressions for the posterior distribution that can be calculated without resorting to Monte Carlo methods.

scholarly journals A Generalized Weighted Monte Carlo Calibration Method for Derivative Pricing

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 739
Author(s):  
Hilmar Gudmundsson ◽  
David Vyncke
Keyword(s):  
Monte Carlo ◽  
Asset Pricing ◽  
Calibration Method ◽  
Original Method ◽  
Pricing Models ◽  
Market Prices ◽  
Asset Pricing Models ◽  
Multiple Weights ◽  
Out Of Sample ◽  
Distinguishing Features

The weighted Monte Carlo method is an elegant technique to calibrate asset pricing models to market prices. Unfortunately, the accuracy can drop quite quickly for out-of-sample options as one moves away from the strike range and maturity range of the benchmark options. To improve the accuracy, we propose a generalized version of the weighted Monte Carlo calibration method with two distinguishing features. First, we use a probability distortion scheme to produce a non-uniform prior distribution for the simulated paths. Second, we assign multiple weights per path to fit with the different maturities present in the set of benchmark options. Our tests on S&P500 options data show that the new calibration method proposed here produces a significantly better out-of-sample fit than the original method for two commonly used asset pricing models.

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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